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(guó)上交所附息國(guó)債相關(guān)樣本數(shù)據(jù)為研究對(duì)象,基于三次B樣條函數(shù)模型,擬合了我國(guó)國(guó)債利率期限結(jié)構(gòu)并研究了其動(dòng)態(tài)變化,之后根據(jù)Mishkin通貨膨脹方程,實(shí)證分析了利率期限結(jié)構(gòu)在一定程度上是否對(duì)未來通貨膨脹率有預(yù)測(cè)作用。 首先本文在前人研究的基礎(chǔ)上,比較分析了多項(xiàng)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(guó)債相關(guān)數(shù)據(jù),基于三次B樣條函數(shù)模型,通過估計(jì)模型參數(shù),得出了我國(guó)國(guó)債利率期限結(jié)構(gòu),并構(gòu)造出了隱含在上交所國(guó)債價(jià)格橫截面中的即期利率曲線和遠(yuǎn)期利率曲線。看到即期利率曲線和遠(yuǎn)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(zhǎng)期利率高,這說明利率期限結(jié)構(gòu)的流動(dòng)性偏好理論在我國(guó)國(guó)債市場(chǎng)上是有效的,同時(shí)驗(yàn)證了利率期限結(jié)構(gòu)傳統(tǒng)理論中的流動(dòng)性偏好理論。另外,本文又估計(jì)了上交所國(guó)債利率期限結(jié)構(gòu)的動(dòng)態(tài)變化,發(fā)現(xiàn)利率期限結(jié)構(gòu)隨著時(shí)間的推移是平行移動(dòng)的,在每一個(gè)時(shí)點(diǎn)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(jìn)一步說明流動(dòng)性偏好理論在我國(guó)債券市場(chǎng)的有效性。 再次本文利用2006年12月到2011年11月間物價(jià)消費(fèi)指數(shù)CPI數(shù)據(jù)計(jì)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(guó)債的相關(guān)數(shù)據(jù)計(jì)算得到此期間的利率期限結(jié)構(gòu)月度數(shù)據(jù),進(jìn)而根據(jù)Mishkin通貨膨脹方程,利用時(shí)間序列分析方法實(shí)證研究了利率期限結(jié)構(gòu)是否對(duì)通貨膨脹率有預(yù)測(cè)作用。實(shí)證結(jié)果表明,6個(gè)月與3個(gè)月的名義利差是可以預(yù)測(cè)未來通貨膨脹率變化的,2年期與6個(gè)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(cè)未來通脹的變化,其他期限差的名義利差則不能預(yù)測(cè)未來通貨膨脹的變化�？傮w上,我國(guó)上交所國(guó)債利率期限結(jié)構(gòu)有一定的預(yù)測(cè)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(guó)國(guó)債利率期限結(jié)構(gòu)構(gòu)造情況及其對(duì)通貨膨脹率的預(yù)測(cè)能力的效果,并針對(duì)分析結(jié)果提出要不斷加快推進(jìn)利率市場(chǎng)化改革,條件成熟時(shí)可定期公布我國(guó)利率期限結(jié)構(gòu)曲線,發(fā)布預(yù)期通貨膨脹率和長(zhǎng)短期利差,逐步將其納入經(jīng)濟(jì)先行指標(biāo)中,使我國(guó)的貨幣政策制定更加及時(shí)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(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F812.5;F822.5;F224

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