基于三因子仿射模型的上交所国债利率期限结构研究
发布时间：2019-04-21 20:47
【摘要】：利率期限结是指不同期限国债到期收益率与到期期限之间的关系,它反映了时间因素对利率的影响。它是资产定价、风险管理及套期保值的基础,同时也是中央银行制定货币政策进行宏观调控的重要分析工具,在整个金融系统中起着重要的作用。随着我国社会主义市场经济的不断发展、利率市场化的不断推进、国债规模的不断扩大以及国际金融风险对我国金融市场的冲击,对利率期限结构的研究愈发重要。 本文首先介绍了利率期限结构的研究背景,分析了研究利率期限结构的意义。然后对国内外的研究状况和理论做了简要介绍。本文主要构建了一种三因子仿射利率期限结构模型,研究它对上交所国债市场利率期限结构的描述效果。为了估计模型参数,本文首先通过Nelson-Siegel模型拟合得到即期利率数据。然后由相关分析得出单因子动态模型不能很好的描述利率的动态变化。而通过因子分析可知三因子模型能够充分的解释利率变化状况。 在得到即期利率数据的基础上,本文利用卡尔曼滤波极大似然法估计出模型参数,并对得到的即期利率的预测值和调整值与实际值进行对比,结果发现模型对1年期和2年期的预测效果误差较大,而对期限较长的预测效果较好。总体上说,三因子仿射模型可以比较准确的描述上交所国债市场利率的动态变化特征。
[Abstract]:The term knot of interest rate refers to the relationship between maturity yield and maturity period of different maturity treasury bonds, which reflects the influence of time factor on interest rate. It is the basis of asset pricing, risk management and hedging. It is also an important analytical tool for the central bank to formulate monetary policy for macro-control. It plays an important role in the whole financial system. With the continuous development of China's socialist market economy, the promotion of interest rate marketization, the continuous expansion of the scale of national debt and the impact of international financial risks on China's financial market, the research on the term structure of interest rates is becoming more and more important. This paper first introduces the research background of term structure of interest rate, and analyzes the significance of studying term structure of interest rate. Then the research situation and theory at home and abroad are introduced briefly. This paper mainly constructs a three-factor affine interest rate term structure model and studies its effect on describing the term structure of interest rate in the bond market of Shanghai Stock Exchange. In order to estimate the parameters of the model, the immediate interest rate data are obtained by fitting the Nelson-Siegel model. Then the single-factor dynamic model can not describe the dynamic change of interest rate. Through factor analysis, we know that the three-factor model can fully explain the change of interest rate. On the basis of obtaining the immediate interest rate data, this paper estimates the model parameters by using Kalman filter maximum likelihood method, and compares the predicted and adjusted values of the spot interest rates with the actual values. The results show that the prediction effect of the model for 1-year and 2-year period is larger than that of long-term one-year and two-year prediction. Overall, the three-factor affine model can accurately describe the dynamic characteristics of interest rates in the SSE bond market.
【学位授予单位】：安徽财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.5;F224
本文编号：2462544
[Abstract]:The term knot of interest rate refers to the relationship between maturity yield and maturity period of different maturity treasury bonds, which reflects the influence of time factor on interest rate. It is the basis of asset pricing, risk management and hedging. It is also an important analytical tool for the central bank to formulate monetary policy for macro-control. It plays an important role in the whole financial system. With the continuous development of China's socialist market economy, the promotion of interest rate marketization, the continuous expansion of the scale of national debt and the impact of international financial risks on China's financial market, the research on the term structure of interest rates is becoming more and more important. This paper first introduces the research background of term structure of interest rate, and analyzes the significance of studying term structure of interest rate. Then the research situation and theory at home and abroad are introduced briefly. This paper mainly constructs a three-factor affine interest rate term structure model and studies its effect on describing the term structure of interest rate in the bond market of Shanghai Stock Exchange. In order to estimate the parameters of the model, the immediate interest rate data are obtained by fitting the Nelson-Siegel model. Then the single-factor dynamic model can not describe the dynamic change of interest rate. Through factor analysis, we know that the three-factor model can fully explain the change of interest rate. On the basis of obtaining the immediate interest rate data, this paper estimates the model parameters by using Kalman filter maximum likelihood method, and compares the predicted and adjusted values of the spot interest rates with the actual values. The results show that the prediction effect of the model for 1-year and 2-year period is larger than that of long-term one-year and two-year prediction. Overall, the three-factor affine model can accurately describe the dynamic characteristics of interest rates in the SSE bond market.
【学位授予单位】：安徽财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.5;F224
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