發(fā)布時(shí)間：2018-03-08 14:05

  本文選題：債券　切入點(diǎn)：風(fēng)險(xiǎn)溢價(jià)　出處：《復(fù)旦大學(xué)》2014年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：伴隨著我國(guó)債券市場(chǎng)的發(fā)展壯大和利率市場(chǎng)化改革的不斷推進(jìn),市場(chǎng)對(duì)于預(yù)測(cè)債券未來(lái)風(fēng)險(xiǎn)溢價(jià)提出了越來(lái)越高的要求。本文采用國(guó)外成熟的遠(yuǎn)期利率模型來(lái)預(yù)測(cè)債券未來(lái)的超額收益,并在預(yù)測(cè)結(jié)果的基礎(chǔ)上構(gòu)建積極的債券投資策略,最后將遠(yuǎn)期利率模型的預(yù)測(cè)能力和投資效果與傳統(tǒng)的收益率曲線(xiàn)主成分因子模型進(jìn)行對(duì)比分析,取得了較好的實(shí)證結(jié)果。首先,本文在梳理國(guó)內(nèi)外相關(guān)文獻(xiàn)的基礎(chǔ)上,提出將國(guó)外成熟的遠(yuǎn)期利率模型應(yīng)用于我國(guó)銀行間國(guó)債市場(chǎng)。本文采用國(guó)內(nèi)最新的債券市場(chǎng)數(shù)據(jù)進(jìn)行擬合回歸,發(fā)現(xiàn)在中國(guó)國(guó)債市場(chǎng)上遠(yuǎn)期利率對(duì)于債券超額收益確實(shí)具有顯著的預(yù)測(cè)能力,而且這種預(yù)測(cè)能力隨著債券到期時(shí)間的增加而增強(qiáng)。其次,本文將遠(yuǎn)期利率模型的預(yù)測(cè)結(jié)果用于構(gòu)建債券積極投資策略,以此來(lái)驗(yàn)證預(yù)測(cè)結(jié)果是否具有實(shí)踐價(jià)值。我們的實(shí)證結(jié)果顯示,無(wú)論采用雷曼權(quán)重法還是兩翼組合法,無(wú)論預(yù)測(cè)跨度為1周還是4周,本文模型構(gòu)造的投資組合都具有顯著的投資收益。最后,本文比較了遠(yuǎn)期利率模型和主成分因子模型的預(yù)測(cè)能力和投資效果。從模型的預(yù)測(cè)能力來(lái)看,無(wú)論在1周預(yù)測(cè)跨度條件下還是在4周預(yù)測(cè)跨度條件下,本文提出的遠(yuǎn)期利率模型所具有的預(yù)測(cè)能力要普遍高于傳統(tǒng)的主成分因子模型。從模型構(gòu)造策略的投資效果來(lái)看,在1周預(yù)測(cè)跨度下,遠(yuǎn)期利率模型預(yù)測(cè)結(jié)果構(gòu)建的投資組合在投資業(yè)績(jī)和投資成本方面均優(yōu)于基于收益率曲線(xiàn)主成分因子預(yù)測(cè)結(jié)果構(gòu)建的投資組合。在4周預(yù)測(cè)跨度下,兩種模型在投資業(yè)績(jī)和投資成本方面各有優(yōu)勢(shì)。
[Abstract]:With the development of China's bond market and the promotion of market-oriented interest rate reform, In this paper, the mature forward interest rate model is used to predict the future excess yield of bonds, and an active bond investment strategy is constructed on the basis of the forecast results. Finally, the forecasting ability and investment effect of forward interest rate model are compared with the traditional principal component factor model of yield curve, and good empirical results are obtained. This paper puts forward the application of foreign mature forward interest rate model to the interbank treasury bond market in China. This paper uses the latest domestic bond market data to fit the regression. It is found that forward interest rates do have a significant ability to predict excess bond yields in the Chinese treasury bond market, and this ability increases with the maturity of bonds. Secondly, In this paper, the forecasting results of forward interest rate model are used to construct the positive investment strategy of bonds to verify whether the forecast results have practical value. Our empirical results show that both Lehman weight method and two-wing combination method are used. Whether the forecast span is 1 week or 4 weeks, the portfolio constructed by this model has significant investment returns. Finally, In this paper, the forecasting ability and investment effect of forward interest rate model and principal component factor model are compared. The forward interest rate model proposed in this paper is generally superior to the traditional principal component factor model. From the view of the investment effect of the model construction strategy, under the forecast span of one week, The portfolio constructed by the forecasting results of the forward interest rate model is superior to the portfolio constructed based on the principal component prediction results of the yield curve in terms of investment performance and investment cost. The two models have respective advantages in terms of investment performance and investment cost.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F832.51

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本文編號(hào)：1584201