本文關(guān)鍵詞： 超長(zhǎng)期國(guó)債 流動(dòng)性 利率期限結(jié)構(gòu)模型　出處：《金融研究》2017年04期 　論文類型：期刊論文

【摘要】：現(xiàn)階段中國(guó)10年期以上超長(zhǎng)期國(guó)債收益率的編制是完善收益率曲線的重要工作。針對(duì)超長(zhǎng)期國(guó)債流動(dòng)性較低的市場(chǎng)特征,本文通過(guò)引入一個(gè)刻畫(huà)其相對(duì)流動(dòng)性溢價(jià)的因子,建立了一個(gè)擴(kuò)展的Nelson-Siegel(NS)無(wú)套利利率期限結(jié)構(gòu)模型。實(shí)證研究表明:該模型對(duì)1-30年期的整條國(guó)債收益率曲線具有良好的橫截面擬合效果;投資者對(duì)超長(zhǎng)期國(guó)債收益率要求平均為正的流動(dòng)性溢價(jià),對(duì)15-30年期收益率的貢獻(xiàn)在13-63個(gè)基點(diǎn);模型提取出的流動(dòng)性因子與傳統(tǒng)的流動(dòng)性指標(biāo)具有高度的相關(guān)性和一致性;脈沖響應(yīng)的結(jié)果表明流動(dòng)性因子與三個(gè)NS因子之間存在著顯著的互動(dòng)關(guān)系,而方差分解表明流動(dòng)性因子在長(zhǎng)期對(duì)水平因子和斜率因子的貢獻(xiàn)較大。
[Abstract]:At present, it is an important work to perfect the yield curve of China's 10-year bonds. In view of the market characteristics of low liquidity of ultra-long term bonds, this paper introduces a factor to describe the relative liquidity premium of these bonds. An extended term structure model of Nelson-Siegeler NS) with no arbitrage interest rate is established. The empirical study shows that the model has a good cross-section fitting effect for the whole yield curve of 1-30 years old treasury bonds. Investors require an average positive liquidity premium to the yield of ultra-long term bonds and contribute 13-63 basis points to the yield of 15-30 years, and the liquidity factors extracted by the model are highly correlated and consistent with the traditional liquidity index. The results of pulse response show that there is a significant interaction between the liquidity factor and the three NS factors, while the variance decomposition indicates that the liquidity factor has a great contribution to the horizontal factor and slope factor in the long run.
【作者單位】： 廈門(mén)大學(xué)王亞南經(jīng)濟(jì)研究院;
【基金】：國(guó)家自然科學(xué)基金項(xiàng)目(70903053、71273007) 中央國(guó)債登記結(jié)算有限責(zé)任公司委托“金融工程咨詢項(xiàng)目”的資助
【分類號(hào)】：F224;F812.5

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本文編號(hào)：1532762