本文選題：利率期限結構　切入點：Nelson-Siegel模型　出處：《復旦大學》2013年碩士論文

【摘要】：自1996年以來,我國的利率市場化改革穩(wěn)步推進。利率的市場化已經是當前我國金融改革和開發(fā)的核心內容。我國債券市場近十年來發(fā)展十分迅速,整體規(guī)模非�？捎^。高速崛起的中國債券市場,正日益受到各方的高度關注。有效地構造國債利率期限結構曲線,加強對利率走勢的預測,對制定貨幣政策、金融產品的定價和防范利率風險等具有重大意義。在這樣的背景下,本文通過Nelson-Siegel模型對我國國債利率期限結構展開研究。本文首先介紹了國債收益率曲線的選題背景和意義,接著在第二章介紹了利率期限結構的理論知識和國內外研究綜述。然后在第三章介紹了國債收益率曲線的相關知識和本文對Nelson-Siegel模型的計算方法,我們選擇的是Matlab函數(shù)中的fmincon函數(shù)包進行迭代優(yōu)化計算,并對Nelson-Siegel模型進行了實證分析。在第四章中,我們對Nelson-Siegel模型進行了參數(shù)預測。在預測模型參數(shù)時,本文選擇AR(1)模型和VAR模型進行三個參數(shù)的預測,從而預測利率期限結構。通過與真實值進行對比分析,得出的結論是用VAR模型來預測Nelson-Siegel模型的參數(shù)更加精準一些。最后本文從增加短期國債期限品種,完善國債市場交易機制,加快利率市場化改革進程,調整國債持有者結構,鼓勵金融創(chuàng)新,協(xié)調貨幣政策和財政政策,建立國債投資基金,調整國債市場的功能定位,推出永久國債等幾個方面給出了政策建議。
[Abstract]:Since 1996, our country interest rate marketization reform advances steadily.The marketization of interest rate is the core content of current financial reform and development in our country.Our country bond market develops very fast in the past ten years, the whole scale is very considerable.The high-speed rise of China's bond market is getting more and more attention.It is of great significance to construct the term structure curve of national debt interest rate effectively, to strengthen the forecast of interest rate trend, to make monetary policy, to price financial products and to guard against interest rate risk.In this context, this paper studies the term structure of interest rate in China by Nelson-Siegel model.This paper first introduces the background and significance of the Treasury yield curve, then in the second chapter introduces the theoretical knowledge of interest rate term structure and a summary of domestic and foreign research.Then in the third chapter, we introduce the relevant knowledge of the Treasury yield curve and the calculation method of Nelson-Siegel model in this paper. We choose the fmincon function package in the Matlab function for iterative optimization calculation, and make an empirical analysis of the Nelson-Siegel model.In chapter 4, we predict the parameters of Nelson-Siegel model.In order to predict the term structure of interest rate, we choose ARF-1) model and VAR model to predict the parameters of the model.The conclusion is that the VAR model is more accurate to predict the parameters of Nelson-Siegel model.Finally, this paper tries to improve the trading mechanism of the treasury bond market, speed up the reform process of interest rate marketization, adjust the structure of the holders of national debt, encourage financial innovation, coordinate monetary policy and fiscal policy, and establish the national debt investment fund.Adjustment of the function of the treasury bond market, the introduction of permanent treasury bonds and other aspects of the policy recommendations.
【學位授予單位】：復旦大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F224;F832.51

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本文編號：1719248