本文選題：國(guó)債市場(chǎng) + 收益率曲線��； 參考：《南方金融》2017年04期

【摘要】：基于中債收益率曲線數(shù)據(jù),采用JSZ正則化方法,構(gòu)建以三個(gè)主成分作為可觀測(cè)定價(jià)因子的高斯仿射模型,研究我國(guó)國(guó)債利率期限結(jié)構(gòu)的擬合和預(yù)測(cè)效果,在此基礎(chǔ)上提取利率期限結(jié)構(gòu)中隱含的期限溢價(jià)信息。實(shí)證分析表明:可觀測(cè)高斯仿射模型對(duì)我國(guó)國(guó)債利率期限結(jié)構(gòu)具有良好的擬合和預(yù)測(cè)效果;我國(guó)國(guó)債利率的期限溢價(jià)在統(tǒng)計(jì)上顯著存在,且隨著期限的增加呈現(xiàn)出先增后減的特征;我國(guó)國(guó)債利率的期限溢價(jià)水平與經(jīng)濟(jì)景氣高度相關(guān),在經(jīng)濟(jì)下行時(shí)趨于上升,在經(jīng)濟(jì)向好時(shí)則趨于下降。
[Abstract]:Based on the data of Chinese bond yield curve and JSZ regularization method, a Gao Si affine model with three principal components as the observable pricing factor is constructed to study the fitting and forecasting effect of the term structure of the interest rate of China's treasury bonds. On this basis, the term premium information implied in the term structure of interest rate is extracted. The empirical analysis shows that the observable Gao Si affine model has a good effect on fitting and predicting the term structure of national debt interest rate in China, and the term premium of national debt interest rate is statistically significant. The term premium level of national debt interest rate in China is highly related to the economic boom, and tends to rise when the economy is down, and then to decline when the economy is good.
【作者單位】： 阜陽(yáng)師范學(xué)院;
【分類號(hào)】：F812.5;F832.51
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本文編號(hào)：1957439