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  本文選題：國債利率期限結(jié)構(gòu)　切入點：Nelson-Siegel族模型　出處：《吉林大學》2014年碩士論文

【摘要】：近年來，中國國債發(fā)行量逐年增大，國債在金融市場上的地位逐漸凸現(xiàn)出來。隨著經(jīng)濟的發(fā)展，利率市場化的推進，國債利率期限結(jié)構(gòu)研究的重要性也日益顯現(xiàn)。眾所周知，國債利率期限結(jié)構(gòu)更是金融產(chǎn)品設計、研究貨幣政策效用及其傳導機制、金融資產(chǎn)的定價、金融市場利率風險管理的關鍵。很多學者及相關政策制定者都期待著能找到合適的方法來擬合及預測中國的國債利率期限結(jié)構(gòu)，目前大部分學者認為Nelson-Siegel模型及其擴展模型（統(tǒng)稱為NS族模型，，包括NS、DNS、SV、ASV模型）較為適合中國國債利率期限結(jié)構(gòu)，但是由于實證檢驗中，方法選取不適、數(shù)據(jù)樣本量過小亦或沒有模型的對比研究，對于哪種模型更適合中國國債利率期限結(jié)構(gòu)，一直未能得到統(tǒng)一的結(jié)論。鑒于此，本文將基于Nelson-Siegel族模型對中國國債利率期限結(jié)構(gòu)的擬合及預測進行對比研究，以期待能找到最適合擬合及預測中國國債利率期限結(jié)構(gòu)的最優(yōu)模型。 本文在國債利率期限結(jié)構(gòu)重要性不斷加大這一背景下，首先對利率期限結(jié)構(gòu)的傳統(tǒng)理論及現(xiàn)代理論進行研究，得出較為適合中國國債利率期限結(jié)構(gòu)研究的模型——NS族模型。然后，基于NS族模型，先分別對上海交易所市場和銀行間市場上2005年—2010年國債利率期限結(jié)構(gòu)的月度數(shù)據(jù)進行擬合，采用均方誤差及絕對誤差指標比較四種模型的動態(tài)擬合效果；然后，利用擬合過程中所形成各模型的動態(tài)參數(shù)，采用被學者們認為預測效果較好的一階自回歸（AR（1））方法得到2011年—2013年的參數(shù)預測值，將真實參數(shù)值與預測值進行比較，通過參數(shù)偏差率指標比較各模型的預測效果。實證結(jié)果表明，在四種模型中，Nelson-Siegel模型對我國國債利率期限結(jié)構(gòu)的動態(tài)擬合及預測效果均為最優(yōu)，這在某種程度上解釋了很多國家都運用Nelson-Siegel模型進行本國貨幣政策制定的原因。最后，基于實證檢驗結(jié)果，本文從三個方面對中國國債市場的體制建設提出了相關的政策建議，希望可以進一步完善國債市場，并對日后國債利率期限結(jié)構(gòu)的研究奠定基礎。
[Abstract]:In recent years, the issuance of national debt in China has been increasing year by year, and the position of national debt in the financial market has gradually emerged. With the development of economy and the promotion of marketization of interest rate, the importance of studying the term structure of national debt interest rate is becoming increasingly apparent. The term structure of national debt interest rate is the design of financial products. It studies the utility of monetary policy and its transmission mechanism, the pricing of financial assets, The key to interest rate risk management in financial markets. Many scholars and relevant policy makers are looking forward to finding a suitable way to fit and predict the interest rate maturity structure of China's government bonds. At present, most scholars think that the Nelson-Siegel model and its extended model (collectively called NS family model, including NSD NSN / Nelson-Siegel model) are more suitable for the term structure of interest rate in China's treasury bonds. However, the method is not suitable for the empirical test. There is no uniform conclusion as to which model is more suitable for the term structure of the interest rate of Chinese government bonds, because the data sample size is too small or there is no model. Based on the Nelson-Siegel family model, this paper makes a comparative study on the fitting and forecasting of the term structure of the interest rate of China's treasury bonds, in order to find the best model for fitting and forecasting the term structure of the interest rate of China's national debt. Under the background of the increasing importance of the term structure of national debt interest rate, this paper firstly studies the traditional theory and modern theory of the term structure of interest rate. Then, based on the NS family model, the monthly data of the term structure of the interest rate in the Shanghai Stock Exchange and the interbank market from 2005 to 2010 are respectively fitted. The mean square error and absolute error index are used to compare the dynamic fitting effect of the four models, and then, the dynamic parameters of each model formed during the fitting process are used. The first order autoregressive method, which is considered by scholars to be better, is used to get the predicted values of the parameters from 2011 to 2013, and the real values are compared with the predicted values. The empirical results show that the Nelson-Siegel model is the best in the dynamic fitting and forecasting of the term structure of national debt interest rate in China. To some extent, this explains the reasons why many countries use Nelson-Siegel model to formulate their monetary policy. Finally, based on the empirical results, this paper puts forward some relevant policy recommendations on the institutional construction of China's national debt market from three aspects. It is hoped that the government bond market can be further improved and the research on the term structure of interest rate of government bonds in the future will be laid a foundation.
【學位授予單位】：吉林大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51;F224

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