本文關(guān)鍵詞： 國(guó)債 利率期限結(jié)構(gòu) NSS模型搜索算法 VEC模型　出處：《蘭州大學(xué)》2014年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：利率期限結(jié)構(gòu),是指在某一時(shí)點(diǎn)到期期限不同的金融資產(chǎn)的收益率與到期期限的關(guān)系,是金融產(chǎn)品設(shè)計(jì)、衍生品定價(jià)、保值與避險(xiǎn)、風(fēng)險(xiǎn)投資的基礎(chǔ),是金融數(shù)學(xué)領(lǐng)域經(jīng)久不衰、常談常新的重要課題之一。隨著我國(guó)利率市場(chǎng)化進(jìn)程的不斷推進(jìn),尤其是2013年央行宣布放開(kāi)商業(yè)銀行貸款利率0.7的下限,讓市場(chǎng)供需決定利率水平成為大勢(shì)所趨,而對(duì)作為基準(zhǔn)利率的國(guó)債收益率曲線的研究愈發(fā)重要。 本文先介紹了利率期限結(jié)構(gòu)自形成以來(lái)的各傳統(tǒng)理論和利率模型,通過(guò)對(duì)比分析這些理論各自的優(yōu)勢(shì)和局限,并確立以NSS模型搜索算法估計(jì)我國(guó)債券市場(chǎng)國(guó)債利率期限結(jié)構(gòu),以及收益率曲線與宏觀經(jīng)濟(jì)變量之間的動(dòng)態(tài)關(guān)系的研究思路。通過(guò)對(duì)2007年1月1日至2012年12月30日銀行間債券市場(chǎng)國(guó)債收益率月度數(shù)據(jù)的實(shí)證分析,結(jié)果發(fā)現(xiàn)：(1)采用NSS模型搜索算法來(lái)擬合銀行間市場(chǎng)的國(guó)債收益率曲線效果良好,曲線具有彈性、富有解釋力,可以較準(zhǔn)確地描繪出我國(guó)國(guó)債收益率曲線的形態(tài)；(2)利用VEC模型研究國(guó)債收益率與宏觀經(jīng)濟(jì)變量的關(guān)系發(fā)現(xiàn)變量間存在一組長(zhǎng)期協(xié)整關(guān)系,表示長(zhǎng)期利率因子與工業(yè)產(chǎn)出水平呈現(xiàn)負(fù)相關(guān)、與物價(jià)水平和貨幣供應(yīng)量呈現(xiàn)正相關(guān)；利用VEC模型的誤差修正模型可以發(fā)現(xiàn)變量間存在短期協(xié)整關(guān)系,工業(yè)產(chǎn)出水平會(huì)影響利率因子程度,貨幣供應(yīng)量對(duì)短中期利率因子有顯著的正向影響等結(jié)論。
[Abstract]:Term structure of interest rate refers to the relationship between the yield of financial assets with different maturity period and the maturity period at a certain point. It is the basis of financial product design, derivatives pricing, hedging and hedging, and risk investment. It is one of the most important subjects in the field of financial mathematics. With the development of interest rate marketization in our country, especially in 2013, the central bank announced the release of the lower limit of 0.7 interest rate for commercial banks. Let the market supply and demand determine the level of interest rate becomes the general trend, and the study of Treasury yield curve as the benchmark interest rate becomes more and more important. This paper first introduces the traditional theories and interest rate models since the formation of term structure of interest rate, and analyzes the advantages and limitations of these theories. And establish the NSS model search algorithm to estimate the bond market interest rate maturity structure. And the dynamic relationship between the yield curve and macroeconomic variables. An empirical study of the monthly data of bond yield in the interbank bond market from January 1st 2007 to December 30th 2012. Analysis. The result shows that the NSS model search algorithm is used to fit the yield curve of the interbank market. The curve has the advantage of elasticity and explanation. We can accurately describe the form of the yield curve of our country's national debt; 2) using VEC model to study the relationship between treasury bond yield and macroeconomic variables, it is found that there is a long-term cointegration relationship between the variables, which indicates that the long-term interest rate factor is negatively correlated with the level of industrial output. It has a positive correlation with price level and money supply. Using the error correction model of VEC model, it can be found that there is a short-term cointegration relationship between variables, and the level of industrial output will affect the degree of interest factor. Money supply has significant positive effects on short-and medium-term interest rate factors.
【學(xué)位授予單位】：蘭州大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F812.5;F832.51

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