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  本文關(guān)鍵詞： 利率期限結(jié)構(gòu) B樣條函數(shù) Mishkin方程 名義利差 通貨膨脹率　出處：《南京農(nóng)業(yè)大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：本文以利率期限結(jié)構(gòu)的傳統(tǒng)理論為基礎(chǔ),以我國上交所附息國債相關(guān)樣本數(shù)據(jù)為研究對象,基于三次B樣條函數(shù)模型,擬合了我國國債利率期限結(jié)構(gòu)并研究了其動態(tài)變化,之后根據(jù)Mishkin通貨膨脹方程,實證分析了利率期限結(jié)構(gòu)在一定程度上是否對未來通貨膨脹率有預(yù)測作用。 首先本文在前人研究的基礎(chǔ)上,比較分析了多項式樣條模型、B樣條函數(shù)模型、Nelson-Siegel模型及Svensson模型四種不同的利率期限結(jié)構(gòu)靜態(tài)擬合模型,發(fā)現(xiàn)B樣條函數(shù)模型算法穩(wěn)定可靠,最適合作為當(dāng)前債券利率期限結(jié)構(gòu)的構(gòu)造模型。 其次本文利用2011年11月18日上交所27支附息國債相關(guān)數(shù)據(jù),基于三次B樣條函數(shù)模型,通過估計模型參數(shù),得出了我國國債利率期限結(jié)構(gòu),并構(gòu)造出了隱含在上交所國債價格橫截面中的即期利率曲線和遠期利率曲線�？吹郊雌诶是�和遠期利率曲線均十分平穩(wěn)光滑,即期利率曲線在18年期之前是傾斜向上,18年期以后趨向平坦,基本是一條向右上方傾斜的形狀正常的曲線,短期利率低,長期利率高,這說明利率期限結(jié)構(gòu)的流動性偏好理論在我國國債市場上是有效的,同時驗證了利率期限結(jié)構(gòu)傳統(tǒng)理論中的流動性偏好理論。另外,本文又估計了上交所國債利率期限結(jié)構(gòu)的動態(tài)變化,發(fā)現(xiàn)利率期限結(jié)構(gòu)隨著時間的推移是平行移動的,在每一個時點上,利率期限結(jié)構(gòu)隨著期限的增加基本上是一條向上傾斜的曲線,從整體上進一步說明流動性偏好理論在我國債券市場的有效性。 再次本文利用2006年12月到2011年11月間物價消費指數(shù)CPI數(shù)據(jù)計算得到這段期間的通貨膨脹率月度數(shù)據(jù),并由上交所附息國債的相關(guān)數(shù)據(jù)計算得到此期間的利率期限結(jié)構(gòu)月度數(shù)據(jù),進而根據(jù)Mishkin通貨膨脹方程,利用時間序列分析方法實證研究了利率期限結(jié)構(gòu)是否對通貨膨脹率有預(yù)測作用。實證結(jié)果表明,6個月與3個月的名義利差是可以預(yù)測未來通貨膨脹率變化的,2年期與6個月的名義利差也包含一定的通貨膨脹信息,一定程度上可以預(yù)測未來通脹的變化,其他期限差的名義利差則不能預(yù)測未來通貨膨脹的變化�？傮w上,我國上交所國債利率期限結(jié)構(gòu)有一定的預(yù)測通貨膨脹的能力,但效果并不顯著。 最后本文在以上分析的基礎(chǔ)上,總結(jié)了我國國債利率期限結(jié)構(gòu)構(gòu)造情況及其對通貨膨脹率的預(yù)測能力的效果,并針對分析結(jié)果提出要不斷加快推進利率市場化改革,條件成熟時可定期公布我國利率期限結(jié)構(gòu)曲線,發(fā)布預(yù)期通貨膨脹率和長短期利差,逐步將其納入經(jīng)濟先行指標(biāo)中,使我國的貨幣政策制定更加及時準(zhǔn)確。
[Abstract]:Based on the traditional theory of term structure of interest rate, taking the sample data of interest-bearing national debt of Shanghai Stock Exchange as the research object, and based on the cubic B-spline function model, the paper fits the term structure of interest rate and studies its dynamic change. Then, according to the Mishkin inflation equation, the paper empirically analyzes whether the term structure of interest rate can predict the future inflation rate to a certain extent. On the basis of previous studies, this paper compares and analyzes four different static fitting models of interest rate term structure, such as polynomial spline model and B-spline function model. It is found that the B-spline function model algorithm is stable and reliable, and the Nelson-Siegel model and Svensson model are different static fitting models of interest rate term structure. It is the most suitable construction model for the term structure of the current bond interest rate. Secondly, based on the data of 27 interest-bearing bonds of the Shanghai Stock Exchange in November 18th 2011, based on the cubic B-spline function model and by estimating the parameters of the model, the term structure of interest rate of China's treasury bonds is obtained. The spot interest rate curve and the forward interest rate curve hidden in the cross section of the bond price of the Shanghai Stock Exchange are constructed. It is found that the spot interest rate curve and the forward interest rate curve are very smooth and smooth. The spot interest rate curve was tilted upward before 18 years, flattened after 18 years, basically a normal curve tilted to the upper right, with low short-term interest rates and high long-term interest rates. This shows that the liquidity preference theory of term structure of interest rate is effective in the national debt market of our country, and it also verifies the theory of liquidity preference in the traditional theory of term structure of interest rate. This paper also estimates the dynamic changes in the term structure of the interest rate of the Shanghai Stock Exchange. It is found that the term structure of the interest rate moves in parallel with the passage of time, at each point in time. The term structure of interest rate is basically an upward curve with the increase of term, which further explains the validity of liquidity preference theory in China's bond market. Thirdly, using the CPI data of the price consumption index from December 2006 to November 2011, we calculate the monthly inflation rate data for this period. The monthly data on the term structure of interest rates during this period are calculated from the relevant data of interest-bearing bonds on the Shanghai Stock Exchange, and then according to the Mishkin inflation equation, The paper empirically studies whether term structure of interest rate can predict inflation rate by using time series analysis method. The empirical results show that the nominal interest rate difference between 6 months and 3 months can predict the change of inflation rate in the future, and the change of inflation rate can be predicted in 2 years. The nominal spread between the period and the six-month period also contains some inflation information. To a certain extent, we can predict the change of future inflation, while other nominal interest rate differentials with different maturities cannot predict future inflation. In general, the term structure of the interest rate on the Shanghai Stock Exchange of China has a certain ability to predict inflation. But the effect is not significant. Finally, on the basis of the above analysis, this paper summarizes the construction of the term structure of the interest rate of national debt and its ability to predict the inflation rate, and puts forward that we should continuously accelerate the reform of interest rate marketization in view of the results of the analysis. When the conditions are ripe, the term structure curve of China's interest rate can be published periodically, the expected inflation rate and the long and short term interest rate difference can be published, and it can be gradually incorporated into the economic leading index to make the monetary policy of our country more timely and accurate.
【學(xué)位授予單位】：南京農(nóng)業(yè)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F812.5;F822.5;F224

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本文編號：1530940