本文關(guān)鍵詞： 交易所 銀行間市場 參數(shù)擬合模型 利率風險 PCA　出處：《廈門大學》2014年碩士論文　論文類型：學位論文

【摘要】：隨著我國利率市場化進程的逐步推進,市場資金的供求關(guān)系逐漸成為影響利率的主要因素,而利率的波動也更加的頻繁。如何對利率期限結(jié)構(gòu)進行建模,并從中提取出利率波動的風險因素變得越來越重要。由于交易機制、參與主體上的差異,交易所與銀行間債券市場形成兩個分割的主體。本文基于利率期限結(jié)構(gòu)理論,以交易所與銀行間國債市場作為研究對象,運用參數(shù)擬合模型分別擬合兩個市場的利率期限結(jié)構(gòu)。根據(jù)估計得到的即期利率時間序列數(shù)據(jù),運用主成分分析(PCA)方法提取利率波動的風險因素,解釋各個因子所代表的涵義,并與美國國債市場進行對比,進而提出構(gòu)建統(tǒng)一、高效的債券市場的對策。 按照上述研究思路,本文所做的工作主要包括以下幾個方面： 第一,選取2012年1月6日至2013年12月3日上海證券交易所與銀行間債券市場的國債原始數(shù)據(jù)進行實證分析,基于Nelson-Siegel(NS)模型和Svensson(SV)模型分別擬合了交易所與銀行間國債市場即期利率的利率期限結(jié)構(gòu),通過理論分析和實證對比,發(fā)現(xiàn)SV模型更適合用來擬合我國國債利率期限結(jié)構(gòu)。 第二,基于SV模型得到的即期利率,通過主成分分析方法提取交易所國債市場與銀行間國債市場各自的利率波動風險因素,對比分析兩個市場利率波動的風險性因素,并與美國國債市場進行對比。通過對比研究,發(fā)現(xiàn)三因子利率動態(tài)模型基本上能夠刻畫美國國債市場的收益率變動,即水平因素(level)、傾斜因素(slope)和曲度因素(curvature);而中國市場(主要是交易所與銀行間市場)需要四個因子才能較好地涵蓋國債收益率變動的風險。其中,交易所與銀行間市場第四個因子的方差貢獻率分別達到了2.9849%和2.3868%,說明利率風險中未被解釋的部分比重仍比較大。從市場分割的角度出發(fā),作者認為交易機制、信息反應(yīng)速度、債券發(fā)行規(guī)模、風險對沖機制是造成第四個因子比重較大的原因。 第三,本文實證發(fā)現(xiàn),相較于唐革榕和朱峰(2003)[1]的研究結(jié)果,交易所與銀行間市場的國債利率期限結(jié)構(gòu)對三因子模型的解釋能力都提高了很多,而且兩個市場之間的差距也在不斷縮小。相比之下,銀行間債券市場的利率波動分解出的傾斜因素和曲度因素解釋總方差變動的比率與美國債券市場的情況比較接近,這可能與銀行間市場的交易機制、參與主體跟國外市場比較相似有關(guān)。
[Abstract]:With the development of interest rate marketization in China, the relationship between supply and demand of market funds has gradually become the main factor affecting interest rate, and the fluctuation of interest rate is more frequent. How to model the term structure of interest rate, It is becoming more and more important to extract the risk factors of interest rate fluctuation. Because of the trading mechanism and the difference of the participants, the exchange and the interbank bond market form two separate subjects. This paper based on the term structure of interest rate theory, Taking the market of exchange and interbank bonds as the research object, the paper uses the parameter fitting model to fit the term structure of interest rate of the two markets, and according to the estimated time series data of spot interest rate, The principal component analysis (PCA) method is used to extract the risk factors of interest rate fluctuation, to explain the meaning of each factor, and to compare it with the US Treasury bond market, and then put forward the countermeasures to construct a unified and efficient bond market. According to the above research ideas, the work done in this paper mainly includes the following aspects:. First, the original data of the Shanghai Stock Exchange and the interbank bond market from January 6th 2012 to December 3rd 2013 are selected for empirical analysis. Based on the Nelson-Siegeler NSmodel and the Svenssonn model, the term structure of the spot interest rate in the exchange market and the interbank bond market is fitted, respectively. Through theoretical analysis and empirical comparison, it is found that SV model is more suitable for fitting the term structure of the interest rate of China's treasury bonds. Secondly, based on the spot interest rate obtained by SV model, the risk factors of interest rate fluctuation in the exchange bond market and the interbank bond market are extracted by principal component analysis, and the risk factors of interest rate volatility in the two markets are compared and analyzed. Through the comparative study, it is found that the three-factor interest rate dynamic model can basically depict the change of the yield of the US Treasury bond market. That is, horizontal factors, slope factors and curvature factors, while the Chinese market (mainly exchanges and interbank markets) needs four factors to better cover the risk of bond yield movements. The variance contribution rate of the fourth factor in the exchange and interbank market has reached 2.9849% and 2.3868 respectively, indicating that the unexplained proportion of the interest rate risk is still relatively large. The scale of bond issuance and the risk hedging mechanism are the reasons for the higher proportion of the fourth factor. Thirdly, this paper finds that compared with the results of Tang Guanyong and Zhu Feng 2003 [1], the term structure of the bond interest rate in the exchange and interbank markets has greatly improved its ability to explain the three-factor model. And the gap between the two markets is narrowing. In contrast, the interest rate volatility in the interbank bond market decomposes the slope factor and the curvature factor to explain the change of total variance, which is similar to that in the US bond market. This may be related to the interbank market trading mechanism, the participants and foreign markets are more similar.
【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

【參考文獻】

相關(guān)期刊論文 前10條

1 劉金全;王勇;張鶴;;利率期限結(jié)構(gòu)與宏觀經(jīng)濟因素的動態(tài)相依性——基于VAR模型的經(jīng)驗研究[J];財經(jīng)研究;2007年05期

2 周榮喜,邱菀華;基于多項式樣條函數(shù)的利率期限結(jié)構(gòu)模型實證比較[J];系統(tǒng)工程;2004年06期

3 任姝儀;楊豐梅;周榮喜;;中國國債利率期限結(jié)構(gòu)Nelson-Siegel族模型實證比較[J];系統(tǒng)工程;2011年10期

4 范龍振,王曉麗;上交所國債市場利率期限結(jié)構(gòu)及其信息價值[J];管理工程學報;2004年01期

5 范龍振;上交所利率期限結(jié)構(gòu)的三因子廣義高斯仿射模型[J];管理工程學報;2005年01期

6 宋福鐵;陳浪南;;卡爾曼濾波法模擬和預(yù)測滬市國債期限結(jié)構(gòu)[J];管理科學;2006年06期

7 洪永淼;林海;;中國市場利率動態(tài)研究——基于短期國債回購利率的實證分析[J];經(jīng)濟學(季刊);2006年01期

8 朱世武,陳健恒;交易所國債利率期限結(jié)構(gòu)實證研究[J];金融研究;2003年10期

9 唐革榕,朱峰;我國國債收益率曲線變動模式及組合投資策略研究[J];金融研究;2003年11期

10 周子康;王寧;楊衡;;中國國債利率期限結(jié)構(gòu)模型研究與實證分析[J];金融研究;2008年03期

，

本文編號：1511268