本文選題：利率期限結構　切入點：三因子Vasicek模型　出處：《安徽財經(jīng)大學》2013年碩士論文　論文類型：學位論文

【摘要】：利率期限結構是指某一時點上,不同期限國債的利率與到期期限之間的關系。利率是現(xiàn)代市場經(jīng)濟和金融社會中一個最基礎、最核心的變量。同時,它也是進行資產(chǎn)定價、保值及風險管理的基礎。利率期限結構分為靜態(tài)理論與動態(tài)理論。 本文首先分析了國債利率期限結構的研究背景和意義,并總結概括了國內(nèi)外關于利率期限結構研究情況,在論文第二章中首先詳細地介紹傳統(tǒng)利率期限結構理論,然后對本文使用的利率期限結構模型vasicek模型進行了推導。第三章詳細闡述三因子vasicek模型的靜態(tài)估計方法和動態(tài)估計方法。 本文的實證研究部分,首先運用雙時間變量參數(shù)Nelson-Siegel模型產(chǎn)生即期利率的數(shù)據(jù)。通過對各期利率進行因子分析,得出三因子模型幾乎能全面描述即期利率的動態(tài)特征。其次根據(jù)得到的即期利率數(shù)據(jù),通過卡爾曼濾波法得出三因子vasicek模型的參數(shù)。最后由三因子vasicek模型模型估計的誤差均方根數(shù)據(jù)可以看出,模型對于1年期即期利率的擬合不夠準確,但對于其他期限即期利率數(shù)據(jù)的擬合較為準確,特別是對3年期、4年期和5年期的擬合最為準確,根據(jù)卡爾曼濾波方法所估計出的模型數(shù)據(jù)與實際數(shù)據(jù)相比在整體上比較接近,因此,三因子vasicek模型能夠比較準確地描述我國國債市場利率期限結構的動態(tài)特征。
[Abstract]:The term structure of interest rate refers to the relationship between the interest rate of national debt with different maturities and the maturity period at a certain point. Interest rate is the most basic and core variable in modern market economy and financial society. At the same time, it is also used for asset pricing. Interest rate term structure is divided into static theory and dynamic theory. This paper first analyzes the research background and significance of the term structure of the interest rate of national debt, and summarizes the research situation of the term structure of interest rate at home and abroad. In the second chapter, it introduces the traditional term structure theory of interest rate in detail. Then the vasicek model of interest rate term structure model used in this paper is derived. In chapter 3, the static and dynamic estimation methods of three-factor vasicek model are described in detail. In the part of empirical research, we first use the Nelson-Siegel model to generate the data of spot interest rate. It is concluded that the three-factor model can almost fully describe the dynamic characteristics of spot interest rate. Secondly, according to the obtained spot interest rate data, The parameters of the three-factor vasicek model are obtained by Kalman filter method. Finally, from the error root mean square data estimated by the three-factor vasicek model, it can be seen that the fitting of the model for 1-year spot interest rate is not accurate enough. However, the fitting of other term spot interest rate data is more accurate, especially for 3 years, 4 years and 5 years. The model data estimated by Kalman filter is close to the actual data on the whole. Therefore, the three-factor vasicek model can accurately describe the dynamic characteristics of the term structure of interest rate in China's treasury bond market.
【學位授予單位】：安徽財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51;F224

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本文編號：1560984