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  本文關鍵詞：考慮GARCH效應的動態(tài)無套利Nelson-Siegel模型及國債管理策略分析　出處：《廈門大學》2014年碩士論文　論文類型：學位論文

  更多相關文章： 利率期限結構 GARCH效應 動態(tài)無套利NS模型

【摘要】：利率期限結構不僅是一國宏觀經(jīng)濟運行中的一個重要指標,在金融市場中影響各類金融產(chǎn)品的定價,在微觀層面調節(jié)投融資決策,在世界經(jīng)濟中基于購買力平價對各國之間匯率變化起到基準調節(jié)作用。黨的十八屆三中全會決議更是明確提出“加快推進利率市場化,健全反映市場供求關系的國債收益率曲線”,并將其納入國家核心發(fā)展戰(zhàn)略。因此,學術界和實務界一直以來都在尋找能夠更好地擬合和預測利率演化過程的期限結構模型。 本文在廣泛使用的傳統(tǒng)Nelson-Siegel模型和具有堅實經(jīng)濟基礎的無套利Nelson-Siegel基礎上,考慮不同時點、不同期限可能出現(xiàn)的條件異方差因素,得到考慮GARCH的動態(tài)無套利Nelson-Siegel模型。 G-AFNS模型仍舊采用NS族模型的水平因子、斜率因子和曲率因子作為三個狀態(tài)變量,在對2005年1月至2012年11月中國交易所國債市場上的利率期限結構進行研究之后,發(fā)現(xiàn)G-AFNS模型樣本內擬合程度較高,在進行利率預測時,預測能力明顯優(yōu)于傳統(tǒng)的DNS模型和無套利AFNS模型,說明考慮條件異方差之后預測能力顯著提高,G-AFNS模型適合應用于我國國債市場上。 接下來在國債管理策略分析方面,主要側重債券免疫組合的構造,與DNS向量久期一致,通過水平因子久期、斜率因子久期和曲率因子久期的完全匹配,來消除利率期限結構變化給債券組合價值帶來的利率風險敝口。本文分別考察了每隔1個月、2個月和3個月進行免疫組合調整,結果認為在中國交易所國債市場上,如果利率期限結構不出現(xiàn)突變,每2個月進行一次組合調整來保證免疫效果,應該是較為科學合理的頻率。
[Abstract]:Term structure of interest rate is not only an important index in the macroeconomic operation of a country, but also influences the pricing of all kinds of financial products in the financial market and adjusts the investment and financing decisions at the micro level. In the world economy, based on purchasing power parity, the exchange rate changes between countries play a benchmark role. The resolution of the third Plenary session of the 18 CPC Central Committee specifically proposed "accelerating the promotion of interest rate marketization." Improve the bond yield curve that reflects the relationship between supply and demand in the market "and incorporate it into the national core development strategy. The academic and practical circles have been looking for a term structure model which can better fit and predict the evolution of interest rate. In this paper, based on the widely used traditional Nelson-Siegel model and the non-arbitrage Nelson-Siegel with solid economic foundation, different points are considered. Considering the conditional heteroscedasticity factors of different periods, a dynamic arbitrage free Nelson-Siegel model considering GARCH is obtained. G-AFNS model still uses the horizontal factor, slope factor and curvature factor of NS family model as three state variables. After studying the term structure of interest rate in the treasury bond market of China Stock Exchange from January 2005 to November 2012, it is found that the G-AFNS model has a higher fitting degree in the sample. In the forecasting of interest rate, the forecasting ability is obviously superior to the traditional DNS model and the AFNS model without arbitrage, which shows that the forecasting ability is improved significantly after considering conditional heteroscedasticity. G-AFNS model is suitable to be applied to the national debt market of our country. Then, in the analysis of treasury bond management strategy, we focus on the construction of bond immune combination, which is consistent with DNS vector duration, through the complete matching of horizontal factor duration, slope factor duration and curvature factor duration. In order to eliminate the interest rate risk brought by the change of term structure of interest rate on the value of bond portfolio, this paper investigates the immune portfolio adjustment every 1 month, 2 months and 3 months, respectively. The results show that if the term structure of interest rate does not change every two months to ensure the immune effect, it should be a more scientific and reasonable frequency.
【學位授予單位】：廈門大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51;F224

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