本文選題：利率期限結(jié)構(gòu) + 兩因子CIR�。� 參考：《安徽財(cái)經(jīng)大學(xué)》2012年碩士論文

【摘要】：隨著利率市場(chǎng)化和國(guó)債市場(chǎng)規(guī)模的不斷壯大,隱含在國(guó)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(jià)、風(fēng)險(xiǎn)管理和套期保值的基礎(chǔ),也是中央銀行制定貨幣政策的分析工具。因此,研究利率期限結(jié)構(gòu)有著重要的意義。利率期限結(jié)構(gòu)理論分為傳統(tǒng)利率期限結(jié)構(gòu)理論和現(xiàn)代的靜態(tài)理論以及動(dòng)態(tài)理論。 本文首先分析了國(guó)債利率期限結(jié)構(gòu)的研究背景和意義以及國(guó)內(nèi)外關(guān)于利率期限結(jié)構(gòu)研究情況,在論文第二章中系統(tǒng)地介紹傳統(tǒng)利率期限結(jié)構(gòu)理論和利率期限結(jié)構(gòu)模型理論。第三章詳細(xì)闡述兩因子CIR模型的參數(shù)估計(jì)方法即卡爾曼濾波法。 本文的實(shí)證研究部分,首先運(yùn)用Nelson-Siegel模型產(chǎn)生即期利率的數(shù)據(jù)。通過對(duì)各期利率相關(guān)系數(shù)的分析,得出單因子模型不能夠準(zhǔn)確描述利率的動(dòng)態(tài)變化過程。而因子分析說明兩因子模型已經(jīng)能夠描述利率的絕大部分動(dòng)態(tài)變化特征。其次在即期利率的基礎(chǔ)上,通過卡爾曼濾波法得出兩因子CIR模型的參數(shù)。最后由兩因子CIR模型估計(jì)的誤差均方根數(shù)值可以看出,對(duì)于1年期即期利率模型的擬合不夠精確,但能夠較為準(zhǔn)確刻畫其他期限較長(zhǎng)的即期利率數(shù)據(jù)。在整體上,根據(jù)卡爾曼濾波方法所得出的數(shù)據(jù)和實(shí)際數(shù)據(jù)較為相近。因而,兩因子CIR模型可以比較準(zhǔn)確地刻畫我國(guó)國(guó)債市場(chǎng)利率期限結(jié)構(gòu)的動(dòng)態(tài)變化過程。
[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 central banks to set monetary policy. Therefore, it is of great significance to study the term structure of interest rate. The term structure theory of interest rate is divided into traditional term structure theory, static theory and dynamic theory. Firstly, this paper analyzes the background and significance of the research on the term structure of national debt interest rate, as well as the research situation of the term structure of interest rate at home and abroad. In the second chapter, the traditional term structure theory of interest rate and the theory of term structure model of interest rate are systematically introduced. In the third chapter, the parameter estimation method of two-factor CIR model is described in detail, that is, Kalman filter. In the part of empirical research, the Nelson-Siegel model is used to generate the data of spot interest rate. By analyzing the correlation coefficient of interest rate in each period, it is concluded that the single factor model can not accurately describe the dynamic process of interest rate. Factor analysis shows that the two-factor model has been able to describe most of the dynamic characteristics of interest rates. Secondly, on the basis of spot interest rate, the parameters of two-factor CIR model are obtained by Kalman filter. Finally, it can be seen from the error root mean square value estimated by the two-factor CIR model that the fitting of the 1-year spot interest rate model is not accurate enough, but it can accurately depict other spot interest rate data with longer term. On the whole, the data obtained by the Kalman filtering method is close to the actual data. Therefore, the two-factor CIR model can accurately describe the dynamic process of the term structure of interest rate in China's treasury bond market.
【學(xué)位授予單位】：安徽財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224;F812.5

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 范龍振;上交所債券利率期限結(jié)構(gòu)與兩因子Vasicek模型[J];復(fù)旦學(xué)報(bào)(自然科學(xué)版);2003年05期

2 周榮喜,邱菀華;基于多項(xiàng)式樣條函數(shù)的利率期限結(jié)構(gòu)模型實(shí)證比較[J];系統(tǒng)工程;2004年06期

3 吳丹,謝赤;利率期限結(jié)構(gòu)的樣條估計(jì)模型及其實(shí)證研究[J];系統(tǒng)工程;2005年01期

4 宋福鐵;陳浪南;;卡爾曼濾波法模擬和預(yù)測(cè)滬市國(guó)債期限結(jié)構(gòu)[J];管理科學(xué);2006年06期

5 林海;鄭振龍;;利率期限結(jié)構(gòu)研究述評(píng)[J];管理科學(xué)學(xué)報(bào);2007年01期

6 朱世武,陳健恒;交易所國(guó)債利率期限結(jié)構(gòu)實(shí)證研究[J];金融研究;2003年10期

7 高馳;王擎;;我國(guó)利率期限結(jié)構(gòu)動(dòng)態(tài)研究-基于卡爾曼濾波的仿射模型實(shí)證[J];南方經(jīng)濟(jì);2006年12期

8 文忠橋;國(guó)債定價(jià)的理論與實(shí)證分析[J];南開經(jīng)濟(jì)研究;2004年05期

9 李和金,李湛,李為冰;非參數(shù)利率期限結(jié)構(gòu)模型的理論與實(shí)證研究[J];數(shù)量經(jīng)濟(jì)技術(shù)經(jīng)濟(jì)研究;2002年02期

10 唐英凱;李彪;;國(guó)債利率期限結(jié)構(gòu)模型的估計(jì)研究[J];統(tǒng)計(jì)與決策;2006年24期

，

本文編號(hào)：2000443