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  本文選題：習慣形成　切入點：利率期限結(jié)構(gòu)　出處：《安徽財經(jīng)大學》2013年碩士論文　論文類型：學位論文

【摘要】：隨著利率市場化和國債市場規(guī)模的不斷壯大,隱含在國債中的利率期限結(jié)構(gòu)有著重要的意義,它是資產(chǎn)定價、風險管理和套期保值的基礎,也是中央銀行制定貨幣政策的分析工具。近年來,在資產(chǎn)定價模型中引入消費的研究十分活躍,一方面是由于消費在我國經(jīng)濟中發(fā)揮著越來越重要的作用,另一方面是由于理論界無法解釋的兩個資產(chǎn)定價之謎：股權(quán)溢價之謎和無風險利率之謎�，F(xiàn)有研究表明,在資產(chǎn)定價模型中引入習慣形成可以一定程度上解釋股權(quán)溢價之謎,然而現(xiàn)有研究主要是針對股票定價,隨著我國國債市場的發(fā)展,研究消費對債券定價的影響也不容忽視。 本文首先分析了基于習慣形成的利率期限結(jié)構(gòu)模型的研究背景意義以及國內(nèi)外關(guān)于本題的研究情況,然后在本文的第二章闡述了利率期限結(jié)構(gòu)理論和習慣形成理論,并通過在效用函數(shù)里加入習慣形成因素,引入自由參數(shù),使得剩余消費對無風險利率產(chǎn)生凈影響,產(chǎn)生隨時間變化的無風險利率以及隨時間變化的債券風險溢價,從而推導出基于習慣形成的利率期限結(jié)構(gòu)模型。同時,還引入一個外生的通貨膨脹過程,并對該過程進行估計。 最后是本文的實證研究部分,本文的實證結(jié)果表明,在模型中引入自由參數(shù)后,即允許剩余消費對無風險利率產(chǎn)生凈影響,模型能夠在一定程度上擬合短期債券和長期債券的均值和標準差,且短期債券和長期債券的收益率是剩余消費的減函數(shù)。本文的實證結(jié)果還發(fā)現(xiàn),債券的風險溢價是隨時間變化而變化的,本文模型能夠證明期望假說的失效。
[Abstract]:With the marketization of interest rate and the growing scale of the national debt market, the term structure of interest rate implied in the national debt is of great significance. It is the basis of asset pricing, risk management and hedging. It is also an analytical tool for the central bank to formulate monetary policy. In recent years, the study of introducing consumption into the asset pricing model has been very active, on the one hand, because consumption is playing an increasingly important role in our economy. On the other hand, there are two asset pricing puzzles that the theoretical circle cannot explain: equity premium mystery and risk-free interest rate mystery. Existing studies show that the introduction of habit formation into asset pricing model can explain the equity premium puzzle to some extent. However, the existing research is mainly focused on stock pricing, with the development of the national debt market, the impact of consumption on bond pricing can not be ignored. This paper first analyzes the background significance of the term structure model of interest rate based on habit formation and the research situation of this topic at home and abroad. Then in the second chapter of this paper, the paper expounds the theory of term structure of interest rate and the theory of habit formation. By adding the habit forming factor into the utility function and introducing the free parameter, the surplus consumption has a net effect on the risk-free interest rate, and the risk-free interest rate changes with time and the bond risk premium changes with time. A term structure model of interest rate based on habit is derived, and an exogenous inflation process is introduced and estimated. Finally, the empirical research part of this paper, the empirical results show that, after introducing the free parameters in the model, that is, allow surplus consumption to have a net impact on the risk-free interest rate. The model can fit the mean value and standard deviation of short-term bond and long-term bond to some extent, and the yield of short-term bond and long-term bond is the minus function of surplus consumption. The risk premium of bonds varies with time. The model can prove the failure of expectation hypothesis.
【學位授予單位】：安徽財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.5;F224

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本文編號：1619195