【摘要】： 當(dāng)前,我國正在積極推進(jìn)利率體制和匯率體制的市場化改革,隨著市場化改革的不斷深化,作為無風(fēng)險利率的國債利率以及由不同到期期限的國債收益率組成的利率期限結(jié)構(gòu)將在提供市場定價基礎(chǔ)、促進(jìn)債券市場的發(fā)展和完善、豐富央行調(diào)控工具和加強(qiáng)央行調(diào)控能力、提升金融機(jī)構(gòu)的投資管理與風(fēng)險控制水平等方面發(fā)揮越來越重要的作用。 我國國債市場經(jīng)過20年左右的發(fā)展,取得了巨大的發(fā)展。然而隨著市場化進(jìn)程的不斷加快,我國國債市場以及國債利率期限結(jié)構(gòu)逐漸暴露出許多急需解決的問題,要完善國債市場的運(yùn)行機(jī)制,充分發(fā)揮國債利率期限結(jié)構(gòu)在宏觀經(jīng)濟(jì)調(diào)控、風(fēng)險管理、資產(chǎn)定價等方面的重要作用,結(jié)合我國國債市場的特點對利率期限結(jié)構(gòu)進(jìn)行估計和分析就具有了重要的理論和實踐意義。 本文的研究思路是從利率期限結(jié)構(gòu)理論入手,從利率期限結(jié)構(gòu)形成假設(shè)、估計利率期限結(jié)構(gòu)的方法與模型、利率期限結(jié)構(gòu)動態(tài)模型和利率期限結(jié)構(gòu)自身形態(tài)研究等四個方面對國內(nèi)外研究現(xiàn)狀進(jìn)行述評。以此為基礎(chǔ),并結(jié)合我國國債市場的特點構(gòu)建了估計和分析我國利率期限結(jié)構(gòu)的模型。根據(jù)我國國債市場自身的特點,從實證的角度,擬合交易所和銀行間市場國債收益率曲線,并以國債7天回購利率數(shù)據(jù)作為短期利率的代表,對比驗證參數(shù)和非參數(shù)的方法是否適用研究我國短期利率的波動行為。最后結(jié)合實證研究的結(jié)果,探討完善我國國債市場和國債利率期限結(jié)構(gòu)的思路和方向。 本文共分為五章,結(jié)構(gòu)安排如下: 第一章是前言。簡要闡述了本文研究的背景,分析了在我國進(jìn)行利率期限結(jié)構(gòu)研究所具有的理論意義和實踐意義,在對國內(nèi)研究現(xiàn)狀進(jìn)行評述的基礎(chǔ)上,介紹本文的研究內(nèi)容,同時說明了本文主要采用理論分析和實證分析相結(jié)合的方法進(jìn)行研究。 第二章是文獻(xiàn)評述。本章主要回顧和評述了國內(nèi)外對利率期限結(jié)構(gòu)的相關(guān)研究。從利率期限結(jié)構(gòu)形成假設(shè)、靜態(tài)估計、利率期限結(jié)構(gòu)自身形態(tài)和利率期限結(jié)構(gòu)的動態(tài)模型等四方面對國外的利率期限結(jié)構(gòu)研究進(jìn)行分析評述。本章還對國內(nèi)的一些利率期限結(jié)構(gòu)研究進(jìn)行了述評。 第三章是我國國債利率期限結(jié)構(gòu)研究的理論基礎(chǔ)。本章以我國國債市場的歷史回顧為研究起點,系統(tǒng)剖析我國國債市場的現(xiàn)狀和特點,在全面分析已有模型和方法的基礎(chǔ)上,構(gòu)建出估計和分析我國國債利率期限結(jié)構(gòu)的模型。 第四章是我國國債利率期限結(jié)構(gòu)的實證研究。本章利用我國的實際數(shù)據(jù),采用息票剝離法、多項式樣條法和Nelson-Siegel擴(kuò)展模型分別對我國交易所國債市場和銀行間國債市場的利率期限結(jié)構(gòu)進(jìn)行估計和分析,并對比實證分析的結(jié)果,分析我國國債市場的靜態(tài)特征。使用國債回購數(shù)據(jù),運(yùn)用參數(shù)方法對我國利率期限結(jié)構(gòu)的動態(tài)變化特征進(jìn)行研究。本章還使用非參數(shù)的方法對利率期限結(jié)構(gòu)的動態(tài)特征進(jìn)行研究,并對比非參數(shù)方法和參數(shù)方法對我國國債利率期限結(jié)構(gòu)實證研究的結(jié)果。 第五章是我國國債利率期限結(jié)構(gòu)的對比研究及思考。本章將交易所國債市場和銀行間國債市場的利率期限結(jié)構(gòu)的靜態(tài)特征進(jìn)行了對比,分析了產(chǎn)生差異的原因。并將中美兩國的利率期限結(jié)構(gòu)進(jìn)行了對比,分析中美兩國在利率期限結(jié)構(gòu)方面產(chǎn)生差異的原因。根據(jù)實證研究和國內(nèi)外對比的結(jié)果,探討了完善我國利率期限結(jié)構(gòu)和發(fā)展我國國債市場的思路和方向。 本文主要完成了以下工作: 運(yùn)用多種模型對我國國債利率期限結(jié)構(gòu)進(jìn)行估計。目前,對于固定收益證券利率期限結(jié)構(gòu)的模型研究,國外已經(jīng)有很多較為成熟的理論,然而,應(yīng)用到我國國債市場的實際情況,這些模型就或多或少會出現(xiàn)一些不合理的地方,尤其是對國債利率期限結(jié)構(gòu)的估計方面。鑒于此,本文在對各種模型和方法的優(yōu)劣進(jìn)行比較的基礎(chǔ)上,應(yīng)用息票剝離法、多項式樣條法和Nelson-Siegel擴(kuò)展模型對我國國債利率期限結(jié)構(gòu)進(jìn)行估計,對比三種模型估計我國國債利率期限結(jié)構(gòu)的優(yōu)劣。由于我國國債市場分為交易所市場和銀行間市場(本文不考慮柜臺市場),本文分別對兩個市場的國債利率期限結(jié)構(gòu)進(jìn)行了估計,并對兩個市場的期限結(jié)構(gòu)進(jìn)行對比,得出了一些結(jié)論。 本文在現(xiàn)有的利率期限結(jié)構(gòu)動態(tài)模型的基礎(chǔ)上,建立了非參數(shù)利率期限結(jié)構(gòu)模型。這種非參數(shù)模型依靠數(shù)據(jù)說話,克服了傳統(tǒng)的參數(shù)化模型事先對利率的概率分布和參數(shù)形式進(jìn)行某種假設(shè)的缺點。本文以交易所7天國債回購利率為樣本,對建立的非參數(shù)利率期限結(jié)構(gòu)模型進(jìn)行了實證分析,并與參數(shù)化利率期限結(jié)構(gòu)模型的代表Vasicek模型和CIR模型的實證結(jié)果進(jìn)行了比較分析,得出了一定的結(jié)論。 本文選取美國同期國債市場的交易數(shù)據(jù),利用相同方法進(jìn)行了利率期限結(jié)構(gòu)的靜態(tài)估計。通過對中美兩國利率期限結(jié)構(gòu)的比較,找出我國國債市場目前存在的問題,并探討解決問題的思路和途徑。 本文的主要結(jié)論有: 從靜態(tài)特征上分析,我國的利率期限結(jié)構(gòu)已經(jīng)初步具備市場經(jīng)濟(jì)國家的特征。通過樣條函數(shù)、息票剝離法和Nelson-Siegel擴(kuò)展模型對我國利率期限結(jié)構(gòu)的靜態(tài)估計,本文發(fā)現(xiàn)我國的國債利率期限結(jié)構(gòu)整體呈現(xiàn)出向上的趨勢,長期利率高于短期利率。 對比研究表明,我國交易所市場國債利率期限結(jié)構(gòu)和銀行間市場國債利率期限結(jié)構(gòu)存在明顯的差異,且這種差異沒有規(guī)律可尋,處于分割狀態(tài)。這種差異和分割狀態(tài)不利于一個基準(zhǔn)市場利率的形成,進(jìn)而不利于市場化進(jìn)程的推進(jìn)。 通過對中美利率期限結(jié)構(gòu)的對比可以看出,與美國的利率期限結(jié)構(gòu)相比,我國的利率期限結(jié)構(gòu)存在著許多的不完善,這種不完善是中國特殊的經(jīng)濟(jì)制度背景和國債市場的人為割裂造成的。 與參數(shù)化模型相比,非參數(shù)方法能更準(zhǔn)確地描述我國國債利率期限結(jié)構(gòu)的狀況。 本文在對我國國債利率期限結(jié)構(gòu)進(jìn)行深入分析和全面對比的基礎(chǔ)上,提出了完善我國國債市場和國債利率期限結(jié)構(gòu)的思路和方向。本文認(rèn)為要改變我國利率期限結(jié)構(gòu)的不合理狀態(tài),最有效的方法就是將交易所市場和銀行間債券市場統(tǒng)一起來,建立一個統(tǒng)一的國債市場。通過資本在兩個不同市場之間的自由流動,促進(jìn)市場的完善以及統(tǒng)一的市場基準(zhǔn)利率的生成,為我國的利率市場化奠定一個堅實的基礎(chǔ)。
[Abstract]:At present, China is actively pushing forward the market-oriented reform of interest rate system and exchange rate system. With the deepening of market-oriented reform, the term structure of interest rate as a risk-free interest rate and the yield of bonds with different maturities will provide market pricing basis, promote the development and perfection of the bond market and enrich the central government. It is playing an increasingly important role in improving the investment management and risk control of financial institutions.
China's national debt market has made tremendous progress after 20 years'development. However, with the acceleration of the market-oriented process, China's national debt market and the term structure of national debt interest rate gradually expose many urgent problems to be solved. We should improve the operation mechanism of the national debt market and give full play to the term structure of national debt interest rate in macroeconomic regulation and control. It is of great theoretical and practical significance to estimate and analyze the term structure of interest rate according to the characteristics of China's national debt market.
Starting from the theory of term structure of interest rate, this paper reviews the current research situation at home and abroad from four aspects: the formation hypothesis of term structure of interest rate, the method and model of estimating term structure of interest rate, the dynamic model of term structure of interest rate and the study of its own form. According to the characteristics of China's national debt market, this paper fits the yield curve of treasury bonds in the exchange and inter-bank markets from the empirical point of view, and takes the 7-day repurchase interest rate data of national debt as the representative of short-term interest rate, compares and verifies the applicability of parameter and non-parameter methods. Finally, combining with the results of empirical research, this paper discusses the ideas and directions of perfecting the term structure of interest rate in China's national debt market and national debt.
This article is divided into five chapters. The structure is as follows:
The first chapter is the preface. It briefly expounds the background of this paper, analyzes the theoretical and practical significance of the research on term structure of interest rate in China, and introduces the research contents of this paper on the basis of reviewing the domestic research situation. It also illustrates the method of combining theoretical analysis with empirical analysis in this paper. Conduct research.
The second chapter is literature review. This chapter mainly reviews and reviews the relevant research on term structure of interest rate at home and abroad. It analyzes and comments on the foreign research on term structure of interest rate from four aspects: formation hypothesis of term structure of interest rate, static estimation, self-shape of term structure of interest rate and dynamic model of term structure of interest rate. Some interest rate term structure studies are reviewed.
Chapter 3 is the theoretical basis for the study of the term structure of interest rate of national debt in China.Based on the historical review of the national debt market in China, this chapter systematically analyzes the current situation and characteristics of the national debt market in China, and constructs a model for estimating and analyzing the term structure of interest rate of national debt on the basis of a comprehensive analysis of existing models and methods.
Chapter 4 is an empirical study on the term structure of interest rate of treasury bonds in China.Using the actual data of our country, this chapter estimates and analyzes the term structure of interest rate of the Treasury bond market of stock exchange and the inter-bank treasury bond market of our country respectively by using the method of coupon stripping, polynomial spline and Nelson-Siegel extended model, and compares the results of empirical analysis. This paper analyzes the static characteristics of China's treasury bond market. Using the data of treasury bond repurchase, the dynamic characteristics of the term structure of interest rate in China are studied by parametric method. Results of syndrome studies.
Chapter Five is a comparative study and Reflection on the term structure of interest rate of Chinese Treasury bonds. This chapter compares the static characteristics of the term structure of interest rate between the exchange treasury bond market and the inter-bank treasury bond market, and analyzes the reasons for the differences. According to the results of empirical research and comparison at home and abroad, this paper discusses the way and direction of perfecting the term structure of interest rate and developing China's treasury bond market.
This paper mainly completed the following work:
Many models are used to estimate the term structure of interest rate in China's Treasury bonds. At present, there are many mature theories abroad about the term structure of interest rate in fixed income securities. In view of this, on the basis of comparing the advantages and disadvantages of various models and methods, this paper estimates the term structure of interest rate of China's national debt by using the coupon stripping method, polynomial spline method and Nelson-Siegel extended model, and compares the three models to estimate the term structure of interest rate of China's national debt. China's national debt market is divided into exchange market and inter-bank market (this paper does not consider the over-the-counter market). This paper estimates the term structure of the interest rates of the two markets, and compares the term structure of the two markets, and draws some conclusions.
Based on the existing dynamic models of interest rate term structure, this paper establishes a non-parametric model of interest rate term structure. This model relies on data to overcome the shortcomings of the traditional parametric model which assumes the probability distribution and parameter form of interest rate beforehand. This paper makes an empirical analysis of the non-parametric term structure model of interest rate, and compares it with the empirical results of Vasicek model and CIR model, which represent the parametric term structure model of interest rate, and draws some conclusions.
In this paper, we use the same method to estimate the term structure of interest rate by comparing the term structure of interest rate between China and the United States, find out the existing problems in China's national debt market, and explore the way to solve them.
The main conclusions of this paper are:
From the static analysis, the term structure of interest rate in our country has already possessed the characteristics of a market economy country. Through the static estimation of the term structure of interest rate in our country by spline function, coupon stripping method and Nelson-Siegel extended model, this paper finds that the term structure of interest rate in our country's treasury bonds presents an upward trend as a whole, and the long-term interest rate is higher than that in other countries. Short term interest rates.
The comparative study shows that there are obvious differences between the term structure of interest rate of treasury bonds in China's exchange market and the term structure of interest rate of treasury bonds in the inter-bank market, and the differences are irregular and in a state of segmentation.
By comparing the term structure of interest rates between China and the United States, we can see that compared with the term structure of interest rates in the United States, there are many imperfections in the term structure of interest rates in China.
Compared with the parametric model, the non-parametric method can describe the term structure of interest rate more accurately.
On the basis of thorough analysis and comprehensive comparison of the term structure of interest rate of national debt in China, this paper puts forward the train of thought and direction of perfecting the term structure of national debt market and interest rate of national debt. Unify and establish a unified treasury bond market. Through the free flow of capital between the two different markets, promote the perfection of the market and the formation of a unified market benchmark interest rate, lay a solid foundation for China's interest rate marketization.
【學(xué)位授予單位】：西南財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2007
【分類號】：F832.51;F224

【相似文獻(xiàn)】

相關(guān)期刊論文 前10條

1 羅寅;劉錫標(biāo);;我國國債市場的有效性及投資價值研究[J];企業(yè)經(jīng)濟(jì);2011年07期

2 閆瑞增;謝赤;;利率期限結(jié)構(gòu)的理論與模型及其研究進(jìn)展[J];金融經(jīng)濟(jì);2005年18期

3 李紅杰;;我國國債市場的流動性分析[J];東方企業(yè)文化;2011年14期

4 楊春玉;;發(fā)展國債市場的思考[J];黑龍江金融;2001年11期

5 畢磊;張曉林;;中國國債市場金融功能分析[J];東方企業(yè)文化;2011年10期

6 向松祚;;國債助美國崛起[J];英才;2011年09期

7 杜海濤;;利率期限結(jié)構(gòu)理論與實證研究[J];中國貨幣市場;2002年Z1期

8 歐陽瑾;;淺析國債的通貨膨脹效應(yīng)[J];現(xiàn)代商業(yè);2011年21期

9 王志棟;;利率理論考察與基準(zhǔn)利率定義[J];現(xiàn)代管理科學(xué);2011年09期

10 孫皓;石柱鮮;;中國利率期限結(jié)構(gòu)對經(jīng)濟(jì)周期波動的預(yù)測能力檢驗——基于動態(tài)Probit模型的研究途徑[J];經(jīng)濟(jì)與管理研究;2011年04期

相關(guān)會議論文 前7條

1 應(yīng)益榮;伍志文;;基于Hermite插值的利率期限結(jié)構(gòu)的收益曲線擬合[A];第四屆中國智能計算大會論文集[C];2010年

2 何晨;張強(qiáng);;我國利率期限結(jié)構(gòu)擬合估計[A];第三屆（2008）中國管理學(xué)年會論文集[C];2008年

3 李小平;馮蕓;吳沖鋒;;遠(yuǎn)期匯率期限結(jié)構(gòu)曲線穩(wěn)定點研究[A];系統(tǒng)工程與和諧管理——第十屆全國青年系統(tǒng)科學(xué)與管理科學(xué)學(xué)術(shù)會議論文集[C];2009年

4 張曉英;;中西方企業(yè)債券定價之比較[A];中國金融論壇（2005）[C];2005年

5 吳會詠;馬瑩;;分離交易可轉(zhuǎn)換債券的定價[A];科技創(chuàng)新與產(chǎn)業(yè)發(fā)展（B卷）——第七屆沈陽科學(xué)學(xué)術(shù)年會暨渾南高新技術(shù)產(chǎn)業(yè)發(fā)展論壇文集[C];2010年

6 朱世武;許丹;趙麗娜;;人民幣利率互換定價的實證研究[A];數(shù)學(xué)·力學(xué)·物理學(xué)·高新技術(shù)交叉研究進(jìn)展——2010（13）卷[C];2010年

7 余文烈;;當(dāng)代資本運(yùn)動、全球金融危機(jī)與社會主義斗爭的新任務(wù)[A];“蘇東劇變20年與當(dāng)代世界社會主義”學(xué)術(shù)研討會暨當(dāng)代世界社會主義專業(yè)委員會2011年年會會議論文集[C];2011年

相關(guān)重要報紙文章 前10條

1 廣發(fā)期貨發(fā)展研究中心 許江山;利率期限結(jié)構(gòu)與風(fēng)險管理[N];期貨日報;2010年

2 詹茹;國債市場將趨活躍[N];經(jīng)濟(jì)參考報;2002年

3 張書東;新債引發(fā)利率期限結(jié)構(gòu)重整[N];中國證券報;2003年

4 上海交通大學(xué)安泰經(jīng)濟(jì)與管理學(xué)院教授 潘英麗;防范美元與美國國債市場逆轉(zhuǎn)風(fēng)險[N];上海證券報;2009年

5 ;美國國債市場,奏響憂郁藍(lán)調(diào)[N];新華每日電訊;2009年

6 特派記者 吳曉鵬　花馨;蓋特納訪華表態(tài)“難讓人信服” 美國國債市場表現(xiàn)“中性”[N];21世紀(jì)經(jīng)濟(jì)報道;2009年

7 記者 潘榮;2010年：美國國債市場“熊”來了？[N];第一財經(jīng)日報;2010年

8 本報記者 李關(guān)云;主權(quán)債務(wù)泥淖難解 全球國債市場再承壓[N];21世紀(jì)經(jīng)濟(jì)報道;2010年

9 本報駐東京記者 嚴(yán)圣禾;日本國債市場火爆引發(fā)擔(dān)憂[N];光明日報;2010年

10 記者 曹金玲;2011：美國債市場難現(xiàn)驚喜[N];第一財經(jīng)日報;2010年

相關(guān)博士學(xué)位論文 前10條

1 孫皓;我國利率期限結(jié)構(gòu)與宏觀經(jīng)濟(jì)關(guān)系的實證研究[D];吉林大學(xué);2010年

2 鄧海清;利率期限結(jié)構(gòu)的信息傳遞研究[D];復(fù)旦大學(xué);2010年

3 蘇云鵬;利率期限結(jié)構(gòu)理論、模型及應(yīng)用研究[D];天津大學(xué);2010年

4 陳珂;基于利率期限結(jié)構(gòu)的我國外匯儲備投資研究[D];湖南大學(xué);2012年

5 康書隆;國債利率的風(fēng)險特征、變化規(guī)律及風(fēng)險管理研究[D];東北財經(jīng)大學(xué);2010年

6 林海;中國利率期限結(jié)構(gòu)及應(yīng)用研究[D];廈門大學(xué);2003年

7 夏慶;貨幣政策與國債利率期限結(jié)構(gòu)關(guān)聯(lián)性研究[D];武漢大學(xué);2011年

8 王亞男;我國國債利率期限結(jié)構(gòu)的計量研究[D];吉林大學(xué);2012年

9 唐革榕;我國利率期限結(jié)構(gòu)的靜態(tài)擬合實證研究[D];廈門大學(xué);2006年

10 馬慶魁;我國貨幣市場利率期限結(jié)構(gòu)及其與宏觀經(jīng)濟(jì)關(guān)聯(lián)性研究[D];吉林大學(xué);2009年

相關(guān)碩士學(xué)位論文 前10條

1 張寧;基于商業(yè)銀行內(nèi)部資金轉(zhuǎn)移定價的利率期限結(jié)構(gòu)研究[D];山東大學(xué);2010年

2 蘇明;國債利率期限結(jié)構(gòu)預(yù)測能力研究[D];山東大學(xué);2010年

3 滿志福;基于光順B樣條的利率期限結(jié)構(gòu)擬合[D];吉林大學(xué);2011年

4 李昊哲;基于指數(shù)樣條函數(shù)的我國國債利率期限結(jié)構(gòu)曲線的構(gòu)造[D];吉林大學(xué);2010年

5 韓俊萌;我國國債利率期限結(jié)構(gòu)研究[D];蘭州理工大學(xué);2011年

6 李楠;利率期限結(jié)構(gòu)及利率風(fēng)險控制[D];華僑大學(xué);2001年

7 伍鶴;我國國債利率期限結(jié)構(gòu)的比較研究[D];西南財經(jīng)大學(xué);2007年

8 陶希晉;利率期限結(jié)構(gòu)與我國國債定價研究[D];安徽大學(xué);2007年

9 黃志勇;我國國債市場發(fā)展過程中利率期限結(jié)構(gòu)問題探討[D];西南財經(jīng)大學(xué);2007年

10 唐穎;帶Gamma跳的制度轉(zhuǎn)換下的利率期限結(jié)構(gòu)[D];暨南大學(xué);2011年

，

本文編號：2219864