本文選題：國(guó)債收益率曲線　切入點(diǎn)：迭代局部多項(xiàng)式模型　出處：《西南財(cái)經(jīng)大學(xué)》2012年博士論文

【摘要】：隨著現(xiàn)代金融市場(chǎng)的發(fā)展,利率市場(chǎng)化進(jìn)程的推進(jìn),以及國(guó)家宏觀調(diào)控力度的加強(qiáng),國(guó)債收益率曲線研究受到越來(lái)越多地重視。利用模型對(duì)國(guó)債收益率曲線的準(zhǔn)確估計(jì)具有重要的意義：一方面可以對(duì)金融產(chǎn)品進(jìn)行準(zhǔn)確定價(jià),確保金融市場(chǎng)運(yùn)行的穩(wěn)定有序；另一方面也可以幫助國(guó)家準(zhǔn)確地把握宏觀經(jīng)濟(jì)運(yùn)行情況,實(shí)施有效的宏觀經(jīng)濟(jì)調(diào)控。然而由于我國(guó)國(guó)債市場(chǎng)較西方發(fā)達(dá)國(guó)家發(fā)展較晚,發(fā)展不夠完善,表現(xiàn)出附息國(guó)債占比較大,樣本數(shù)據(jù)異常點(diǎn)較多等各種實(shí)際情況,導(dǎo)致國(guó)外先進(jìn)的收益率曲線估計(jì)模型在我國(guó)的應(yīng)用效果并不十分理想。目前,國(guó)內(nèi)對(duì)收益率曲線的估計(jì)研究大多集中對(duì)國(guó)外模型的縫補(bǔ)和實(shí)證檢驗(yàn),從未根據(jù)我國(guó)市場(chǎng)特征提出合適的估計(jì)模型。于是何種收益率曲線模型更適合我國(guó)國(guó)債市場(chǎng)特征?能否根據(jù)我國(guó)國(guó)債市場(chǎng)特征提出合適的收益率曲線估計(jì)模型?這都是我國(guó)國(guó)債收益率曲線理論研究和實(shí)際應(yīng)用中迫切需要解決的問(wèn)題。 有鑒于此,本文圍繞以上問(wèn)題展開,立足于我國(guó)國(guó)債市場(chǎng)的現(xiàn)實(shí)特點(diǎn),在統(tǒng)計(jì)學(xué)中新近發(fā)展的局部多項(xiàng)式估計(jì)模型的基礎(chǔ)上,通過(guò)理論研究和實(shí)證分析,提出了適合我國(guó)市場(chǎng)特征的迭代局部多項(xiàng)式國(guó)債收益率曲線靜態(tài)估計(jì)模型、動(dòng)態(tài)估計(jì)模型和宏觀金融模型。其中,迭代局部多項(xiàng)式靜態(tài)估計(jì)模型提高了對(duì)交易日當(dāng)天收益率曲線的靜態(tài)估計(jì),而且具有良好的統(tǒng)計(jì)性質(zhì)；迭代局部多項(xiàng)式動(dòng)態(tài)估計(jì)模型不僅能夠很好地刻畫樣本內(nèi)收益率曲線的動(dòng)態(tài)變化趨勢(shì),更重要的是還具有較強(qiáng)的樣本外預(yù)測(cè)能力；迭代局部多項(xiàng)式宏觀金融模型,將宏觀經(jīng)濟(jì)變量和收益率曲線相結(jié)合,研究宏觀經(jīng)濟(jì)對(duì)收益率水平的影響,對(duì)我國(guó)金融市場(chǎng)的穩(wěn)定和發(fā)展,以及宏觀調(diào)控的有效實(shí)施具有重要的現(xiàn)實(shí)意義。 本文對(duì)國(guó)債收益率曲線模型的研究沿著“靜態(tài)估計(jì)模型→動(dòng)態(tài)估計(jì)模型→宏觀金融模型”的研究思路,依次逐步展開,層層遞進(jìn)：首先,對(duì)我國(guó)國(guó)債市場(chǎng)的現(xiàn)狀和現(xiàn)有靜態(tài)模型進(jìn)行分析和研究,并據(jù)此提出適合我國(guó)市場(chǎng)特征的迭代局部多項(xiàng)式靜態(tài)估計(jì)模型；其次,在動(dòng)態(tài)NS模型的理論框架下,將靜態(tài)模型推廣到動(dòng)態(tài)。通過(guò)擴(kuò)展,不僅增加模型對(duì)樣本期內(nèi)收益率曲線變動(dòng)趨勢(shì)的刻畫效果,更重要的是提高了模型的預(yù)測(cè)能力；最后,將動(dòng)態(tài)模型和宏觀金融變量相結(jié)合,提出迭代局部多項(xiàng)式宏觀金融模型。充分利用宏觀經(jīng)濟(jì)變量和收益率曲線蘊(yùn)含的信息,進(jìn)一步提升模型的預(yù)測(cè)能力。具體內(nèi)容如下： 在靜態(tài)估計(jì)模型方面,本文對(duì)目前我國(guó)國(guó)債市場(chǎng)的現(xiàn)狀和現(xiàn)有靜態(tài)估計(jì)模型進(jìn)行了細(xì)致的梳理和分析,歸納出了我國(guó)債券市場(chǎng)的特點(diǎn)和現(xiàn)有靜態(tài)估計(jì)模型運(yùn)用時(shí)所存在的問(wèn)題。在此基礎(chǔ)上,通過(guò)對(duì)現(xiàn)有統(tǒng)計(jì)學(xué)中新近發(fā)展的局部多項(xiàng)式估計(jì)方法進(jìn)行改進(jìn),提出了適合我國(guó)市場(chǎng)特征的迭代局部多項(xiàng)式靜態(tài)估計(jì)模型。并通過(guò)蒙特卡洛模擬、實(shí)證分析等方法對(duì)新模型的擬合效果、統(tǒng)計(jì)性質(zhì)進(jìn)行了研究和比較。 在動(dòng)態(tài)估計(jì)模型方面,本文對(duì)現(xiàn)有動(dòng)態(tài)估計(jì)模型,特別是近期提出的動(dòng)態(tài)NS模型進(jìn)行了分析和研究,發(fā)現(xiàn)傳統(tǒng)動(dòng)態(tài)估計(jì)方法雖然能夠?qū)κ找媛是�動(dòng)態(tài)變化規(guī)律進(jìn)行較為準(zhǔn)確地刻畫,但是對(duì)未來(lái)收益率水平的預(yù)測(cè)能力表現(xiàn)很差。而新近提出的動(dòng)態(tài)NS模型,通過(guò)兩步估計(jì)方法,建立了收益率曲線模型和三個(gè)動(dòng)態(tài)因子的——對(duì)應(yīng)關(guān)系,從而有效地改善了動(dòng)態(tài)模型的預(yù)測(cè)能力。但是在兩步估計(jì)中第一步采用的是剝離息票靜態(tài)估計(jì)方法,該方法在我國(guó)債券市場(chǎng)上的應(yīng)用情況并不理想。因此本文基于迭代局部多項(xiàng)式靜態(tài)估計(jì)模型,借助動(dòng)態(tài)NS模型的框架提出迭代局部多項(xiàng)式動(dòng)態(tài)NS模型。并利用上海證券交易所國(guó)債交易數(shù)據(jù)實(shí)證比較了迭代局部多項(xiàng)式動(dòng)態(tài)NS模型對(duì)樣本期內(nèi)收益率曲線的擬合效果和對(duì)樣本期外收益率水平的預(yù)測(cè)能力。 同時(shí),本文還對(duì)動(dòng)態(tài)NS模型中三個(gè)關(guān)鍵動(dòng)態(tài)因子的含義進(jìn)行了探索和研究,通過(guò)理論分析認(rèn)為三個(gè)動(dòng)態(tài)因子既可以表示收益率曲線的期限特征(短期、中期和長(zhǎng)期)也可以表示收益率曲線的形狀特征(水平、斜率和曲線)。利用實(shí)證分析認(rèn)為三個(gè)動(dòng)態(tài)因子與期限特征相關(guān)性較弱,而與形狀特征有較強(qiáng)的相關(guān)關(guān)系,表明三個(gè)動(dòng)態(tài)因子分別通過(guò)刻畫收益率曲線的水平、斜率和曲線特征來(lái)擬合收益率曲線。 在宏觀金融模型方面,本文首先對(duì)宏觀經(jīng)濟(jì)運(yùn)行情況進(jìn)行分析,提煉出實(shí)體經(jīng)濟(jì)變量、貨幣經(jīng)濟(jì)變量、物價(jià)水平變量和利率市場(chǎng)變量。用脈沖響應(yīng)函數(shù)研究宏觀經(jīng)濟(jì)變量沖擊對(duì)動(dòng)態(tài)因子的影響。然后將宏觀經(jīng)濟(jì)變量與動(dòng)態(tài)因子相結(jié)合,提出估計(jì)收益率曲線的宏觀金融模型。試圖能夠充分利用收益率曲線自身和宏觀經(jīng)濟(jì)運(yùn)行的相關(guān)信息有效地預(yù)測(cè)未來(lái)收益率水平。 本文通過(guò)將理論剖析與實(shí)證檢驗(yàn)相結(jié)合,取得以下主要實(shí)證結(jié)果： 一是,在靜態(tài)模型的研究中,分別從對(duì)特殊形狀收益率曲線的擬合效果比較、蒙特卡洛模擬和實(shí)證研究三個(gè)方面比較迭代局部多項(xiàng)式模型和現(xiàn)有靜態(tài)估計(jì)模型的擬合效果。結(jié)果表明迭代局部多項(xiàng)式模型擬合的收益率曲線對(duì)國(guó)債定價(jià)與實(shí)際交易價(jià)格之間的絕對(duì)誤差和均方根誤差最小,擬合效果最佳。另外,通過(guò)數(shù)理統(tǒng)計(jì)理論證明和蒙特卡洛模擬表明迭代局部多項(xiàng)式模型估計(jì)具有漸近正態(tài)分布的優(yōu)良統(tǒng)計(jì)性質(zhì)。從而為該模型的廣泛應(yīng)用打下堅(jiān)實(shí)的基礎(chǔ)。 二是,在動(dòng)態(tài)模型的研究中,通過(guò)選取上海交易所附息債券交易數(shù)據(jù)實(shí)證分析和比較模型的樣本內(nèi)擬合效果和樣本外預(yù)測(cè)能力。結(jié)果表明迭代局部多項(xiàng)式動(dòng)態(tài)NS模型不僅比其他動(dòng)態(tài)模型具有更好的樣本期內(nèi)擬合效果,更重要的是具有更強(qiáng)的樣本期外預(yù)測(cè)能力。另外,通過(guò)對(duì)迭代局部多項(xiàng)式動(dòng)態(tài)NS模型中動(dòng)態(tài)因子的現(xiàn)實(shí)含義研究表明,三個(gè)動(dòng)態(tài)因子分別通過(guò)刻畫收益率曲線的水平、斜率和曲率特征,來(lái)描述收益率曲線的動(dòng)態(tài)變化過(guò)程。 三是,在宏觀金融模型的研究中,通過(guò)脈沖響應(yīng)函數(shù)研究宏觀經(jīng)濟(jì)沖擊對(duì)三個(gè)動(dòng)態(tài)因子的影響,結(jié)果表明宏觀經(jīng)濟(jì)沖擊對(duì)動(dòng)態(tài)因子具有顯著而持續(xù)的影響,特別是貨幣市場(chǎng)的沖擊影響最為明顯。另外,選取上海證券交易所附息國(guó)債交易數(shù)據(jù)實(shí)證檢驗(yàn)了宏觀金融模型的預(yù)測(cè)能力,結(jié)果表明加入宏觀經(jīng)濟(jì)變量之后,宏觀金融模型能夠有效地利用宏觀經(jīng)濟(jì)和收益率曲線自身的信息,提高模型的預(yù)測(cè)能力。 論文通過(guò)理論考察和實(shí)證研究,在以下方面取得了部分創(chuàng)新成果： 一是,提出迭代局部多項(xiàng)式靜態(tài)估計(jì)模型,并對(duì)模型的統(tǒng)計(jì)性質(zhì)進(jìn)行探究。在梳理和分析我國(guó)債券市場(chǎng)的現(xiàn)實(shí)特征和現(xiàn)有收益率曲線靜態(tài)估計(jì)方法的基礎(chǔ)上,提出了適合我國(guó)市場(chǎng)特征的迭代局部多項(xiàng)式靜態(tài)估計(jì)模型,通過(guò)蒙特卡洛模擬和實(shí)證分析證實(shí)了新模型具有更好的估計(jì)效果。并對(duì)模型的統(tǒng)計(jì)性質(zhì)進(jìn)行研究,表明模型具有漸近正態(tài)分布的統(tǒng)計(jì)性質(zhì)。 二是,提出迭代局部多項(xiàng)式動(dòng)態(tài)NS模型,并對(duì)模型中三個(gè)動(dòng)態(tài)因子的現(xiàn)實(shí)含義進(jìn)行探究。在動(dòng)態(tài)NS模型和兩步估計(jì)的理論框架下,將迭代局部多項(xiàng)式靜態(tài)估計(jì)推廣到動(dòng)態(tài)。該模型不僅具有較好的樣本內(nèi)擬合效果,更重要的是具有較強(qiáng)的樣本外預(yù)測(cè)能力。同時(shí)還對(duì)模型中三個(gè)動(dòng)態(tài)因子的現(xiàn)實(shí)含義進(jìn)行研究。結(jié)果表明三個(gè)動(dòng)態(tài)因子分別表示收益率曲線的水平、斜率和曲率特征。 三是,提出迭代局部多項(xiàng)式宏觀金融模型。在分析宏觀經(jīng)濟(jì)變量沖擊對(duì)動(dòng)態(tài)因子的影響基礎(chǔ)上,利用向量自回歸模型將迭代局部多項(xiàng)式動(dòng)態(tài)NS模型和宏觀經(jīng)濟(jì)變量相結(jié)合提出宏觀金融模型。研究表明加入宏觀因子后的宏觀金融模型能夠更加充分地利用宏觀經(jīng)濟(jì)和收益率曲線自身的信息,具有更強(qiáng)的預(yù)測(cè)能力。 本研究雖然取得了一些有用成果,但由于理論和實(shí)際經(jīng)濟(jì)數(shù)據(jù)方面的限制,論文在對(duì)模型的使用的普遍性和深度研究上還存在不足,期望隨著理論的發(fā)展和經(jīng)濟(jì)數(shù)據(jù)資料的豐富,在后續(xù)研究中不斷改進(jìn)和完善。
[Abstract]:With the development of modern financial markets, the liberalization of interest rate, and strengthen the national macro-control efforts, the Treasury yield curve is paid more and more attention. The research has important significance to accurately estimate yields curve using the model: on the one hand to accurate pricing of financial products, to ensure the financial market operation stable and orderly; on the other hand can also help countries accurately grasp the macroeconomic situation, the implementation of effective macroeconomic regulation. However, due to China's bond market than the western developed countries developed late, the development is not perfect, showing interest bearing bonds accounted for a larger, more variety of abnormal sample data of the actual situation, leading to the foreign advanced the yield curve estimation model is applied in our country is not very ideal. At present, for the estimation of the yield curve of domestic focus Sewing and empirical test of foreign models, according to the characteristics of China's market has never put forward appropriate estimation model. So what the yield curve model is more suitable for the characteristics of China's bond market? Whether according to the characteristics of China's bond market is proposed to estimate the appropriate model of the yield curve? This is an urgent need to solve the curve theory research and practical application the issue of China's bond yields.
In view of this, this article focuses on the above problems, based on the reality of China's bond market, the local polynomial newly developed in statistics based on the estimated model, through theoretical research and empirical analysis, we propose an iterative local polynomial yield curve for the Chinese market characteristic of static estimation model, model and macro finance model dynamic estimation. The iterative local polynomial static estimation model improves the static estimation of the yield curve on the day of the transaction, but also has good statistical properties; state estimation model can well describe the dynamic change trend of the yield curve in sample dynamic iterative local polynomial, but also has a strong sample local polynomial prediction ability; iterative macro finance model, the macroeconomic variables and the yield curve combination of macroeconomic research The effect of yield level is of great practical significance to the stability and development of China's financial market and the effective implementation of macro regulation.
Study on the curve model of this paper on the rate of bond yields along the "static estimation model, dynamic estimation model, research the macro financial model", in order to gradually expand, progressive layers: firstly, analyze and study the status quo of China's bond market and the existing static model, and puts forward the iterative local polynomial is suitable for the characteristics of China's market. Static estimation model; secondly, in the theoretical framework of dynamic NS model, the static model is extended to dynamic. By extension, not only increases the trend rate of return curve model for the sample period describe the effect, more important is to improve the prediction ability of the model; finally, the dynamic model and the combination of macro financial variables. An iterative local polynomial of macro financial model. Make full use of macroeconomic variables and the yield curve contains information, to further improve the prediction ability of the model. The contents are as follows:
In the static estimation model, this article on the current status of China's bond market and the existing static estimation model and analyzes in detail, summed up the existing problems when using the model of the characteristics of China's bond market and the existing static estimation. On this basis, the local polynomial of existing statistics in recent development estimation the improved method, we propose an iterative local polynomial for Chinese market characteristic and static estimation model. Through Monte Carlo simulation, the fitting effect of empirical analysis on the new model, the statistical properties were studied and compared.
In the dynamic estimation model, based on the existing dynamic estimation model, especially the dynamic NS model proposed recently for analysis and research, found that the traditional method of dynamic estimation can change rule of the dynamic curve yields are more accurately described, but the ability to predict performance of yield level is very poor. The future dynamic NS model the newly proposed method, through two step estimation, established the corresponding relationship of yield curve model and three dynamic factors, thus effectively improve the prediction ability of the model. But in the two step in the estimation of first step using the static estimation method of stripping the coupon and application of this method in the bond market in China is not ideal. So this paper based on local polynomial estimation iterative static model, dynamic model of the proposed framework using NS iterative local polynomial dynamic NS model and use. The Shanghai stock exchange bond trading data empirical comparison of iterative local polynomial dynamic NS model fitting effect to the yield curve in the sample period and the level of sample period yields the prediction ability.
At the same time, this article also has carried on the exploration and study of three key dynamic factor dynamic NS model in meaning, through theoretical analysis that the three dynamic factors can not only represent the term feature of the yield curve (short, medium and long term) can also represent the shape feature of the yield curve (level, slope and curve). The empirical analysis that three dynamic factors and duration characteristics of weak correlation, and have a strong correlation with the shape feature, show that the three dynamic factors respectively to describe the yield curve level by, slope and curve to fit the yield curve.
In the aspect of macro financial model, this paper firstly analyzes the macroeconomic situation, refine the real economic variables, monetary economic variables, price level variables and the interest rate market variables. Using the impulse response function of the impact of macroeconomic variables on the dynamic factor. Then the macro economic variables and dynamic factor combination, the paper estimates the macro the financial model of the yield curve. To make full use of the yield curve of its own information and macro-economy effectively predict the future yield level.
Through the combination of theoretical analysis and empirical test, the following main empirical results are obtained.
One is, in the study of static model, respectively, from the result of fitting curves of special shape yield comparison, Monte Carlo simulation and empirical research on the three aspects of a comparative iterative local polynomial model and the existing static estimation model fitting effect. Results show that the iterative local polynomial model fitting the yield curve of the minimum absolute error between the bond pricing and the actual transaction price and the RMS error, the best fitting effect. In addition, through the mathematical statistics theory proving and Monte Carlo simulation show that the iterative local polynomial estimation model is asymptotically normal distribution of excellent statistical properties. It is widely applied for the model to lay a solid foundation.
Two, study on the dynamic model, the ability to predict by selecting the Shanghai stock exchange coupon bond transaction data empirical analysis and comparison model in sample fitting and out of sample. The results show that the iterative local polynomial dynamic NS model not only has better than other dynamic models of the sample period fitting effect, more important is to have more samples period prediction ability. In addition, by studying the meaning of dynamic factor iterative local polynomial dynamic NS model shows that the three dynamic factors respectively to describe the yield curve of the level, slope and curvature characteristics to describe the dynamic changes of the yield curve.
Three, in the study of macro financial model, the impulse response function of the macroeconomic impact of the three dynamic factors. The results show that macroeconomic impact on the dynamic factor has significant and lasting influence, especially the influence of the money market the most obvious impact. In addition, select the Shanghai stock exchange treasury bond transaction data analysis to test the predictive ability of macro financial model, after the results showed that the addition of macroeconomic variables, macro financial model can effectively use the macro economy and the yield curve of their information, improve the prediction ability of the model.
Through theoretical investigation and empirical research, some innovative achievements have been achieved in the following aspects:
First, an iterative local polynomial static estimation model, and statistical properties of the model are explored. In combing and analyzing the realistic characteristics of China's bond market and the current yield curve static estimation method based on the proposed iterative local polynomial is suitable for the characteristics of China's market static estimation model, the new model has a better estimation effect confirmed by Monte Carlo simulation and empirical analysis. And study the statistical properties of the model show that the model has statistical properties of asymptotic normal distribution.
The two is an iterative local polynomial dynamic NS model, and the real meaning of the three dynamic factor model are explored. In the dynamic NS model and two step estimation theory, the iterative local polynomial estimation is extended to the dynamic static. The model not only has a better fitting effect in the sample, more important is the ability the prediction has a strong sample. At the same time the research meaning of the three dynamic factors in the model. The results show that the three dynamic factors respectively the yield curve level, slope and curvature characteristics.
The three is an iterative local polynomial model. In the macro financial impact analyzing the impact of macroeconomic variables on the dynamic factor, using vector autoregressive model iterative local polynomial dynamic NS model and macroeconomic variables is proposed based on the macro financial model. Research shows that adding the macro financial model of macro factors can make full use of the macro economy and the yield curve of their information, predictive ability is stronger.
This research has made some useful achievements, but because of the theory and the actual economic data limitations, based on the universality and depth of use of the model is not expected, with the development of the theory and economic data rich, constantly improve and perfect in the follow-up study.

【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2012
【分類號(hào)】：F224;F812.5

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