本文選題：利率期限結(jié)構(gòu) + Nelson-Siegel模型��； 參考：《浙江工商大學(xué)》2017年碩士論文

【摘要】：近年來,隨著中國金融市場的蓬勃發(fā)展,金融產(chǎn)品的種類不斷增加,投資者數(shù)量也在大幅度增長,國債的大量發(fā)行使得國債在金融市場中的地位逐漸凸顯,利率市場化進(jìn)程的推進(jìn),使得利率期限結(jié)構(gòu)的重要性逐漸凸顯,利率期限結(jié)構(gòu)已成為金融市場利率風(fēng)險(xiǎn)管理,金融資產(chǎn)的定價(jià),貨幣政策制定的關(guān)鍵。因此,研究國債利率期限結(jié)構(gòu),為金融市場提供有價(jià)值的參考依據(jù)以及進(jìn)行風(fēng)險(xiǎn)管理已成為重要的研究課題。本文在這一大背景下,首先對利率期限結(jié)構(gòu)的相關(guān)理論和估計(jì)方法進(jìn)行分析研究,發(fā)現(xiàn)參數(shù)類模型因其擬合效果好,參數(shù)的經(jīng)濟(jì)含義明顯,模型比較穩(wěn)定等優(yōu)點(diǎn)受到了國內(nèi)外研究學(xué)者的青睞,但是對于哪種模型更適合研究中國國債利率期限結(jié)構(gòu)并沒有得出統(tǒng)一的結(jié)論。為了研究哪種模型更適合國債市場,本文首先選取了 2012年1月到2017年3月的國債收益率月度數(shù)據(jù),把這些數(shù)據(jù)按照到期期限分為1年到30年,并對2012年到2017年的利率期限結(jié)構(gòu)進(jìn)行了主成分分析,結(jié)果顯示影響利率期限結(jié)構(gòu)變動的因素有水平因素,傾斜因素,曲度因素,這些因素對利率期限結(jié)構(gòu)曲線變動的方差貢獻(xiàn)率分別為82.2002%,16.9948%,0.6283%,水平因素代表了利率期限結(jié)構(gòu)的位置,傾斜因素代表了利率期限結(jié)構(gòu)的傾斜程度,曲度因素決定了利率期限結(jié)構(gòu)的彎曲程度,這為下文將要研究的Nelson-Siegel模型和Svensson模型做了鋪墊,影響利率期限結(jié)構(gòu)的變動的因素與Nelson-Siegel模型和Svensson模型的參數(shù)相對應(yīng),尤其是Nelson-Siegel模型的三個(gè)參數(shù)分別對應(yīng)于水平因子,傾斜因子和曲度因子,說明Nelson-Siegel模型和Svensson模型可以很好進(jìn)行國債利率期限結(jié)構(gòu)的估計(jì)研究。為了對比研究Nelson-Siegel模型和Svensson模型的擬合效果,本文從第四章開始分別從橫截面數(shù)據(jù),樣本內(nèi),樣本外,模型參數(shù)的穩(wěn)定性等四個(gè)方面對兩模型進(jìn)行了對比分析。實(shí)證結(jié)果表明,Nelson-Siegel模型的擬合效果好,估計(jì)的參數(shù)少,參數(shù)經(jīng)濟(jì)含義明顯以及模型相對比較穩(wěn)定,因此更適合進(jìn)行國債利率期限結(jié)構(gòu)的估計(jì)研究。
[Abstract]:In recent years, with the vigorous development of China's financial market, the variety of financial products has been increasing, and the number of investors has also increased by a large margin. The issuance of a large number of treasury bonds has made the status of national debt in the financial market gradually prominent. With the development of interest rate marketization, the importance of the term structure of interest rate is becoming more and more important. The term structure of interest rate has become the key to the management of interest rate risk, the pricing of financial assets and the formulation of monetary policy. Therefore, it has become an important research topic to study the term structure of government bond interest rate, to provide valuable reference for the financial market and to carry out risk management. Under this background, this paper first analyzes the relevant theories and estimation methods of term structure of interest rate, and finds that the parameter class model has obvious economic meaning because of its good fitting effect. The stability of the model has been favored by scholars at home and abroad, but there is no uniform conclusion as to which model is more suitable for studying the term structure of interest rate of Chinese government bonds. In order to study which model is more suitable for the bond market, this paper first selects the monthly data of bond yield from January 2012 to March 2017, and divides these data into 1 year to 30 years according to the maturity period. The principal component analysis of term structure of interest rate from 2012 to 2017 shows that the factors influencing the change of term structure of interest rate are level factor, inclination factor and curvature factor. The variance contribution rate of these factors to the change of term structure curve of interest rate is 82.2002 / 16.9948 and 0.62833.The horizontal factor represents the position of the term structure of interest rate, and the tilting factor represents the inclination degree of the term structure of interest rate. The curvature factor determines the degree of curvature of the term structure of interest rate. This paves the way for the Nelson-Siegel model and the Svensson model, which will be studied below. The factors affecting the change of the term structure of interest rate correspond to the parameters of the Nelson-Siegel model and the Svensson model. In particular, the three parameters of the Nelson-Siegel model correspond to the horizontal factor, the tilt factor and the curvature factor, respectively. It is shown that the Nelson-Siegel model and the Svensson model can be used to estimate the term structure of the interest rate. In order to compare and study the fitting results of Nelson-Siegel model and Svensson model, this paper makes a comparative analysis of the two models from four aspects: cross section data, sample data, outside sample and stability of model parameters. The empirical results show that the Nelson-Siegel model has good fitting effect, few parameters, obvious economic meaning and relatively stable model, so it is more suitable to estimate the term structure of treasury bonds.
【學(xué)位授予單位】：浙江工商大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F224;F812.5

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本文編號：2006669