本文選題：利率曲線　切入點(diǎn)：Nelson-Siegel模型　出處：《復(fù)旦大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：我國(guó)債券市場(chǎng)在2013年取得了較大的發(fā)展,在總交易規(guī)模、全年發(fā)行人民幣債券總額以及年末托管余額方面都出現(xiàn)了較大的增長(zhǎng),其規(guī)模分別達(dá)到了262.7萬(wàn)億、9萬(wàn)億以及29.9萬(wàn)億元,同比增長(zhǎng)3.85%、12.5%和14.4%。另一方面,我國(guó)居民的理財(cái)需求也在快速的增長(zhǎng)。根據(jù)普益財(cái)務(wù)數(shù)據(jù),2013年我國(guó)共發(fā)行56827款銀行理財(cái)產(chǎn)品,56.43萬(wàn)億元的發(fā)行規(guī)模,同比增長(zhǎng)85.87%。另外,2013年,深圳交易所的相關(guān)報(bào)告顯示投資者人均持有4.49種金融產(chǎn)品,同比增長(zhǎng)6.65%。一面是債券市場(chǎng)的快速發(fā)展,一面是居民理財(cái)需求的大幅增加,這必然催生人們對(duì)于債券的投資需求。并且債券這種金融產(chǎn)品風(fēng)險(xiǎn)較小,到期期限和每期現(xiàn)金流相對(duì)穩(wěn)定。債券的這些特點(diǎn)使其非常適合風(fēng)險(xiǎn)厭惡并且有穩(wěn)定現(xiàn)金流需求的普通投資者。本文正是希望通過(guò)對(duì)于利率曲線模型以及債券積極投資策略的研究分析,提出較為完善的投資策略,為實(shí)際投資當(dāng)中的機(jī)構(gòu)投資者服務(wù)。本文主要基于靜態(tài)以及動(dòng)態(tài)Nelson-Siegel模型對(duì)利率曲線進(jìn)行研究。在靜態(tài)Ne lson-Siegel模型的研究中,本文論述了β0、β1、β2以及β4即(β0+β1)的變動(dòng)情況,并實(shí)證分析了基于β1和β2的三種投資策略。研究結(jié)果表明β0、β、β2以及β4具有較為明確的經(jīng)濟(jì)學(xué)含義,并且主成分分析結(jié)果表明β0、β1、β2所對(duì)應(yīng)的水平因素、傾斜因素以及曲率因素,能很好地刻畫(huà)利率曲線的變動(dòng)�；讦�1和p2的三種投資策略在綜合考慮利率曲線水平變化的情況下能獲得較好地收益。在動(dòng)態(tài)Nelson-Siegel模型的研究中,研究結(jié)果表明動(dòng)態(tài)模型能較好地預(yù)測(cè)1-3個(gè)月的利率曲線走勢(shì),特別是在利率曲線水平移動(dòng)方面,這正好補(bǔ)充了上述投資策略的不足。在有一定宏觀經(jīng)濟(jì)預(yù)期以及動(dòng)態(tài)Nelson-Siegel模型對(duì)未來(lái)利率曲線的預(yù)測(cè)時(shí),適時(shí)的選擇合適的上述投資策略進(jìn)行投資,不僅能提高投資的安全性,而且能使投資收益率大大增加。
[Abstract]:In 2013, the bond market of our country has made great progress. In the aspects of the total trading scale, the total amount of RMB bonds issued in the whole year and the deposit balance at the end of the year, the scale of the bond market has reached 262.7 trillion yuan and 29.9 trillion yuan respectively. On the other hand, the financial needs of Chinese residents are also growing rapidly. According to Pushi financial data, in 2013, China issued 56827 banking products worth 56.43 trillion yuan, an increase of 85.87 trillion yuan. In 2013, The relevant report of the Shenzhen Stock Exchange shows that the average investor holds 4.49 kinds of financial products, an increase of 6.65% over the same period last year. On the one hand, the rapid development of the bond market and, on the other hand, the substantial increase in residents' demand for financial management. This is bound to create a demand for investment in bonds, and bonds are a less risky financial product. The maturity and cash flow of each period are relatively stable. These characteristics of bonds make them very suitable for the ordinary investors who are risk-averse and have stable cash flow demand. This paper hopes to use the interest rate curve model and bond product. Research and Analysis of Polar Investment Strategies, This paper mainly studies the interest rate curve based on static and dynamic Nelson-Siegel models. This paper discusses the changes of 尾 0, 尾 1, 尾 2 and 尾 4 (尾 0 尾 1), and empirically analyzes three investment strategies based on 尾 1 and 尾 2. The results show that 尾 0, 尾 1, 尾 2 and 尾 4 have clear economic implications. And the results of principal component analysis show that the horizontal factors, inclination factors and curvature factors of 尾 _ 0, 尾 _ 1, 尾 _ 2, and 尾 _ 0, 尾 _ 1 and 尾 _ 2, The three investment strategies based on 尾 _ 1 and p _ 2 can obtain better returns when the level of interest rate curve is taken into account. In the study of dynamic Nelson-Siegel model, three investment strategies based on 尾 _ 1 and p _ 2 can be used to describe the change of interest rate curve. The results show that the dynamic model can predict the trend of interest rate curve for 1-3 months, especially in the horizontal movement of interest rate curve. When we have a certain macroeconomic expectation and dynamic Nelson-Siegel model to predict the future interest rate curve, we can not only improve the security of investment, but also choose the appropriate investment strategy to invest in the future. And can make investment rate of return increase greatly.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51

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