【摘要】：利率期限結(jié)是指不同期限國(guó)債到期收益率與到期期限之間的關(guān)系,它反映了時(shí)間因素對(duì)利率的影響。它是資產(chǎn)定價(jià)、風(fēng)險(xiǎn)管理及套期保值的基礎(chǔ),同時(shí)也是中央銀行制定貨幣政策進(jìn)行宏觀調(diào)控的重要分析工具,在整個(gè)金融系統(tǒng)中起著重要的作用。隨著我國(guó)社會(huì)主義市場(chǎng)經(jīng)濟(jì)的不斷發(fā)展、利率市場(chǎng)化的不斷推進(jìn)、國(guó)債規(guī)模的不斷擴(kuò)大以及國(guó)際金融風(fēng)險(xiǎn)對(duì)我國(guó)金融市場(chǎng)的沖擊,對(duì)利率期限結(jié)構(gòu)的研究愈發(fā)重要。 本文首先介紹了利率期限結(jié)構(gòu)的研究背景,分析了研究利率期限結(jié)構(gòu)的意義。然后對(duì)國(guó)內(nèi)外的研究狀況和理論做了簡(jiǎn)要介紹。本文主要構(gòu)建了一種三因子仿射利率期限結(jié)構(gòu)模型,研究它對(duì)上交所國(guó)債市場(chǎng)利率期限結(jié)構(gòu)的描述效果。為了估計(jì)模型參數(shù),本文首先通過(guò)Nelson-Siegel模型擬合得到即期利率數(shù)據(jù)。然后由相關(guān)分析得出單因子動(dòng)態(tài)模型不能很好的描述利率的動(dòng)態(tài)變化。而通過(guò)因子分析可知三因子模型能夠充分的解釋利率變化狀況。 在得到即期利率數(shù)據(jù)的基礎(chǔ)上,本文利用卡爾曼濾波極大似然法估計(jì)出模型參數(shù),并對(duì)得到的即期利率的預(yù)測(cè)值和調(diào)整值與實(shí)際值進(jìn)行對(duì)比,結(jié)果發(fā)現(xiàn)模型對(duì)1年期和2年期的預(yù)測(cè)效果誤差較大,而對(duì)期限較長(zhǎng)的預(yù)測(cè)效果較好。總體上說(shuō),三因子仿射模型可以比較準(zhǔn)確的描述上交所國(guó)債市場(chǎng)利率的動(dòng)態(tài)變化特征。
[Abstract]:The term knot of interest rate refers to the relationship between maturity yield and maturity period of different maturity treasury bonds, which reflects the influence of time factor on interest rate. It is the basis of asset pricing, risk management and hedging. It is also an important analytical tool for the central bank to formulate monetary policy for macro-control. It plays an important role in the whole financial system. With the continuous development of China's socialist market economy, the promotion of interest rate marketization, the continuous expansion of the scale of national debt and the impact of international financial risks on China's financial market, the research on the term structure of interest rates is becoming more and more important. This paper first introduces the research background of term structure of interest rate, and analyzes the significance of studying term structure of interest rate. Then the research situation and theory at home and abroad are introduced briefly. This paper mainly constructs a three-factor affine interest rate term structure model and studies its effect on describing the term structure of interest rate in the bond market of Shanghai Stock Exchange. In order to estimate the parameters of the model, the immediate interest rate data are obtained by fitting the Nelson-Siegel model. Then the single-factor dynamic model can not describe the dynamic change of interest rate. Through factor analysis, we know that the three-factor model can fully explain the change of interest rate. On the basis of obtaining the immediate interest rate data, this paper estimates the model parameters by using Kalman filter maximum likelihood method, and compares the predicted and adjusted values of the spot interest rates with the actual values. The results show that the prediction effect of the model for 1-year and 2-year period is larger than that of long-term one-year and two-year prediction. Overall, the three-factor affine model can accurately describe the dynamic characteristics of interest rates in the SSE bond market.
【學(xué)位授予單位】：安徽財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.5;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 范龍振;上交所債券利率期限結(jié)構(gòu)與兩因子Vasicek模型[J];復(fù)旦學(xué)報(bào)(自然科學(xué)版);2003年05期

2 陳典發(fā);利率期限結(jié)構(gòu)的一致性[J];系統(tǒng)工程;2002年01期

3 傅曼麗,董榮杰,屠梅曾;國(guó)債利率期限結(jié)構(gòu)模型的實(shí)證比較[J];系統(tǒng)工程;2005年08期

4 梅山佳;;基于我國(guó)債券市場(chǎng)的二因素Vasicek模型研究[J];金融經(jīng)濟(jì);2010年20期

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

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

7 高馳;王擎;;我國(guó)利率期限結(jié)構(gòu)動(dòng)態(tài)研究-基于卡爾曼濾波的仿射模型實(shí)證[J];南方經(jīng)濟(jì);2006年12期

8 張玉桂;蘇云鵬;楊寶臣;;基于Vasicek和CIR模型的SHIBOR期限結(jié)構(gòu)實(shí)證分析[J];統(tǒng)計(jì)與信息論壇;2009年06期

9 劉湘云;;基于CIR模型的利率風(fēng)險(xiǎn)計(jì)量及實(shí)證——以我國(guó)國(guó)債市場(chǎng)為例[J];武漢大學(xué)學(xué)報(bào)(哲學(xué)社會(huì)科學(xué)版);2007年06期

10 范龍振;兩因子常見(jiàn)利率模型在上交所債券市場(chǎng)的實(shí)證分析[J];系統(tǒng)工程理論方法應(yīng)用;2004年04期

，

本文編號(hào)：2462544