本文選題：國債收益率曲線　切入點：迭代局部多項式模型　出處：《西南財經大學》2012年博士論文

【摘要】：隨著現(xiàn)代金融市場的發(fā)展,利率市場化進程的推進,以及國家宏觀調控力度的加強,國債收益率曲線研究受到越來越多地重視。利用模型對國債收益率曲線的準確估計具有重要的意義：一方面可以對金融產品進行準確定價,確保金融市場運行的穩(wěn)定有序；另一方面也可以幫助國家準確地把握宏觀經濟運行情況,實施有效的宏觀經濟調控。然而由于我國國債市場較西方發(fā)達國家發(fā)展較晚,發(fā)展不夠完善,表現(xiàn)出附息國債占比較大,樣本數(shù)據(jù)異常點較多等各種實際情況,導致國外先進的收益率曲線估計模型在我國的應用效果并不十分理想。目前,國內對收益率曲線的估計研究大多集中對國外模型的縫補和實證檢驗,從未根據(jù)我國市場特征提出合適的估計模型。于是何種收益率曲線模型更適合我國國債市場特征?能否根據(jù)我國國債市場特征提出合適的收益率曲線估計模型?這都是我國國債收益率曲線理論研究和實際應用中迫切需要解決的問題。 有鑒于此,本文圍繞以上問題展開,立足于我國國債市場的現(xiàn)實特點,在統(tǒng)計學中新近發(fā)展的局部多項式估計模型的基礎上,通過理論研究和實證分析,提出了適合我國市場特征的迭代局部多項式國債收益率曲線靜態(tài)估計模型、動態(tài)估計模型和宏觀金融模型。其中,迭代局部多項式靜態(tài)估計模型提高了對交易日當天收益率曲線的靜態(tài)估計,而且具有良好的統(tǒng)計性質；迭代局部多項式動態(tài)估計模型不僅能夠很好地刻畫樣本內收益率曲線的動態(tài)變化趨勢,更重要的是還具有較強的樣本外預測能力；迭代局部多項式宏觀金融模型,將宏觀經濟變量和收益率曲線相結合,研究宏觀經濟對收益率水平的影響,對我國金融市場的穩(wěn)定和發(fā)展,以及宏觀調控的有效實施具有重要的現(xiàn)實意義。 本文對國債收益率曲線模型的研究沿著“靜態(tài)估計模型→動態(tài)估計模型→宏觀金融模型”的研究思路,依次逐步展開,層層遞進：首先,對我國國債市場的現(xiàn)狀和現(xiàn)有靜態(tài)模型進行分析和研究,并據(jù)此提出適合我國市場特征的迭代局部多項式靜態(tài)估計模型；其次,在動態(tài)NS模型的理論框架下,將靜態(tài)模型推廣到動態(tài)。通過擴展,不僅增加模型對樣本期內收益率曲線變動趨勢的刻畫效果,更重要的是提高了模型的預測能力；最后,將動態(tài)模型和宏觀金融變量相結合,提出迭代局部多項式宏觀金融模型。充分利用宏觀經濟變量和收益率曲線蘊含的信息,進一步提升模型的預測能力。具體內容如下： 在靜態(tài)估計模型方面,本文對目前我國國債市場的現(xiàn)狀和現(xiàn)有靜態(tài)估計模型進行了細致的梳理和分析,歸納出了我國債券市場的特點和現(xiàn)有靜態(tài)估計模型運用時所存在的問題。在此基礎上,通過對現(xiàn)有統(tǒng)計學中新近發(fā)展的局部多項式估計方法進行改進,提出了適合我國市場特征的迭代局部多項式靜態(tài)估計模型。并通過蒙特卡洛模擬、實證分析等方法對新模型的擬合效果、統(tǒng)計性質進行了研究和比較。 在動態(tài)估計模型方面,本文對現(xiàn)有動態(tài)估計模型,特別是近期提出的動態(tài)NS模型進行了分析和研究,發(fā)現(xiàn)傳統(tǒng)動態(tài)估計方法雖然能夠對收益率曲線動態(tài)變化規(guī)律進行較為準確地刻畫,但是對未來收益率水平的預測能力表現(xiàn)很差。而新近提出的動態(tài)NS模型,通過兩步估計方法,建立了收益率曲線模型和三個動態(tài)因子的——對應關系,從而有效地改善了動態(tài)模型的預測能力。但是在兩步估計中第一步采用的是剝離息票靜態(tài)估計方法,該方法在我國債券市場上的應用情況并不理想。因此本文基于迭代局部多項式靜態(tài)估計模型,借助動態(tài)NS模型的框架提出迭代局部多項式動態(tài)NS模型。并利用上海證券交易所國債交易數(shù)據(jù)實證比較了迭代局部多項式動態(tài)NS模型對樣本期內收益率曲線的擬合效果和對樣本期外收益率水平的預測能力。 同時,本文還對動態(tài)NS模型中三個關鍵動態(tài)因子的含義進行了探索和研究,通過理論分析認為三個動態(tài)因子既可以表示收益率曲線的期限特征(短期、中期和長期)也可以表示收益率曲線的形狀特征(水平、斜率和曲線)。利用實證分析認為三個動態(tài)因子與期限特征相關性較弱,而與形狀特征有較強的相關關系,表明三個動態(tài)因子分別通過刻畫收益率曲線的水平、斜率和曲線特征來擬合收益率曲線。 在宏觀金融模型方面,本文首先對宏觀經濟運行情況進行分析,提煉出實體經濟變量、貨幣經濟變量、物價水平變量和利率市場變量。用脈沖響應函數(shù)研究宏觀經濟變量沖擊對動態(tài)因子的影響。然后將宏觀經濟變量與動態(tài)因子相結合,提出估計收益率曲線的宏觀金融模型。試圖能夠充分利用收益率曲線自身和宏觀經濟運行的相關信息有效地預測未來收益率水平。 本文通過將理論剖析與實證檢驗相結合,取得以下主要實證結果： 一是,在靜態(tài)模型的研究中,分別從對特殊形狀收益率曲線的擬合效果比較、蒙特卡洛模擬和實證研究三個方面比較迭代局部多項式模型和現(xiàn)有靜態(tài)估計模型的擬合效果。結果表明迭代局部多項式模型擬合的收益率曲線對國債定價與實際交易價格之間的絕對誤差和均方根誤差最小,擬合效果最佳。另外,通過數(shù)理統(tǒng)計理論證明和蒙特卡洛模擬表明迭代局部多項式模型估計具有漸近正態(tài)分布的優(yōu)良統(tǒng)計性質。從而為該模型的廣泛應用打下堅實的基礎。 二是,在動態(tài)模型的研究中,通過選取上海交易所附息債券交易數(shù)據(jù)實證分析和比較模型的樣本內擬合效果和樣本外預測能力。結果表明迭代局部多項式動態(tài)NS模型不僅比其他動態(tài)模型具有更好的樣本期內擬合效果,更重要的是具有更強的樣本期外預測能力。另外,通過對迭代局部多項式動態(tài)NS模型中動態(tài)因子的現(xiàn)實含義研究表明,三個動態(tài)因子分別通過刻畫收益率曲線的水平、斜率和曲率特征,來描述收益率曲線的動態(tài)變化過程。 三是,在宏觀金融模型的研究中,通過脈沖響應函數(shù)研究宏觀經濟沖擊對三個動態(tài)因子的影響,結果表明宏觀經濟沖擊對動態(tài)因子具有顯著而持續(xù)的影響,特別是貨幣市場的沖擊影響最為明顯。另外,選取上海證券交易所附息國債交易數(shù)據(jù)實證檢驗了宏觀金融模型的預測能力,結果表明加入宏觀經濟變量之后,宏觀金融模型能夠有效地利用宏觀經濟和收益率曲線自身的信息,提高模型的預測能力。 論文通過理論考察和實證研究,在以下方面取得了部分創(chuàng)新成果： 一是,提出迭代局部多項式靜態(tài)估計模型,并對模型的統(tǒng)計性質進行探究。在梳理和分析我國債券市場的現(xiàn)實特征和現(xiàn)有收益率曲線靜態(tài)估計方法的基礎上,提出了適合我國市場特征的迭代局部多項式靜態(tài)估計模型,通過蒙特卡洛模擬和實證分析證實了新模型具有更好的估計效果。并對模型的統(tǒng)計性質進行研究,表明模型具有漸近正態(tài)分布的統(tǒng)計性質。 二是,提出迭代局部多項式動態(tài)NS模型,并對模型中三個動態(tài)因子的現(xiàn)實含義進行探究。在動態(tài)NS模型和兩步估計的理論框架下,將迭代局部多項式靜態(tài)估計推廣到動態(tài)。該模型不僅具有較好的樣本內擬合效果,更重要的是具有較強的樣本外預測能力。同時還對模型中三個動態(tài)因子的現(xiàn)實含義進行研究。結果表明三個動態(tài)因子分別表示收益率曲線的水平、斜率和曲率特征。 三是,提出迭代局部多項式宏觀金融模型。在分析宏觀經濟變量沖擊對動態(tài)因子的影響基礎上,利用向量自回歸模型將迭代局部多項式動態(tài)NS模型和宏觀經濟變量相結合提出宏觀金融模型。研究表明加入宏觀因子后的宏觀金融模型能夠更加充分地利用宏觀經濟和收益率曲線自身的信息,具有更強的預測能力。 本研究雖然取得了一些有用成果,但由于理論和實際經濟數(shù)據(jù)方面的限制,論文在對模型的使用的普遍性和深度研究上還存在不足,期望隨著理論的發(fā)展和經濟數(shù)據(jù)資料的豐富,在后續(xù)研究中不斷改進和完善。
[Abstract]:With the development of modern financial markets, the liberalization of interest rate, and strengthen the national macro-control efforts, the Treasury yield curve is paid more and more attention. The research has important significance to accurately estimate yields curve using the model: on the one hand to accurate pricing of financial products, to ensure the financial market operation stable and orderly; on the other hand can also help countries accurately grasp the macroeconomic situation, the implementation of effective macroeconomic regulation. However, due to China's bond market than the western developed countries developed late, the development is not perfect, showing interest bearing bonds accounted for a larger, more variety of abnormal sample data of the actual situation, leading to the foreign advanced the yield curve estimation model is applied in our country is not very ideal. At present, for the estimation of the yield curve of domestic focus Sewing and empirical test of foreign models, according to the characteristics of China's market has never put forward appropriate estimation model. So what the yield curve model is more suitable for the characteristics of China's bond market? Whether according to the characteristics of China's bond market is proposed to estimate the appropriate model of the yield curve? This is an urgent need to solve the curve theory research and practical application the issue of China's bond yields.
In view of this, this article focuses on the above problems, based on the reality of China's bond market, the local polynomial newly developed in statistics based on the estimated model, through theoretical research and empirical analysis, we propose an iterative local polynomial yield curve for the Chinese market characteristic of static estimation model, model and macro finance model dynamic estimation. The iterative local polynomial static estimation model improves the static estimation of the yield curve on the day of the transaction, but also has good statistical properties; state estimation model can well describe the dynamic change trend of the yield curve in sample dynamic iterative local polynomial, but also has a strong sample local polynomial prediction ability; iterative macro finance model, the macroeconomic variables and the yield curve combination of macroeconomic research The effect of yield level is of great practical significance to the stability and development of China's financial market and the effective implementation of macro regulation.
Study on the curve model of this paper on the rate of bond yields along the "static estimation model, dynamic estimation model, research the macro financial model", in order to gradually expand, progressive layers: firstly, analyze and study the status quo of China's bond market and the existing static model, and puts forward the iterative local polynomial is suitable for the characteristics of China's market. Static estimation model; secondly, in the theoretical framework of dynamic NS model, the static model is extended to dynamic. By extension, not only increases the trend rate of return curve model for the sample period describe the effect, more important is to improve the prediction ability of the model; finally, the dynamic model and the combination of macro financial variables. An iterative local polynomial of macro financial model. Make full use of macroeconomic variables and the yield curve contains information, to further improve the prediction ability of the model. The contents are as follows:
In the static estimation model, this article on the current status of China's bond market and the existing static estimation model and analyzes in detail, summed up the existing problems when using the model of the characteristics of China's bond market and the existing static estimation. On this basis, the local polynomial of existing statistics in recent development estimation the improved method, we propose an iterative local polynomial for Chinese market characteristic and static estimation model. Through Monte Carlo simulation, the fitting effect of empirical analysis on the new model, the statistical properties were studied and compared.
In the dynamic estimation model, based on the existing dynamic estimation model, especially the dynamic NS model proposed recently for analysis and research, found that the traditional method of dynamic estimation can change rule of the dynamic curve yields are more accurately described, but the ability to predict performance of yield level is very poor. The future dynamic NS model the newly proposed method, through two step estimation, established the corresponding relationship of yield curve model and three dynamic factors, thus effectively improve the prediction ability of the model. But in the two step in the estimation of first step using the static estimation method of stripping the coupon and application of this method in the bond market in China is not ideal. So this paper based on local polynomial estimation iterative static model, dynamic model of the proposed framework using NS iterative local polynomial dynamic NS model and use. The Shanghai stock exchange bond trading data empirical comparison of iterative local polynomial dynamic NS model fitting effect to the yield curve in the sample period and the level of sample period yields the prediction ability.
At the same time, this article also has carried on the exploration and study of three key dynamic factor dynamic NS model in meaning, through theoretical analysis that the three dynamic factors can not only represent the term feature of the yield curve (short, medium and long term) can also represent the shape feature of the yield curve (level, slope and curve). The empirical analysis that three dynamic factors and duration characteristics of weak correlation, and have a strong correlation with the shape feature, show that the three dynamic factors respectively to describe the yield curve level by, slope and curve to fit the yield curve.
In the aspect of macro financial model, this paper firstly analyzes the macroeconomic situation, refine the real economic variables, monetary economic variables, price level variables and the interest rate market variables. Using the impulse response function of the impact of macroeconomic variables on the dynamic factor. Then the macro economic variables and dynamic factor combination, the paper estimates the macro the financial model of the yield curve. To make full use of the yield curve of its own information and macro-economy effectively predict the future yield level.
Through the combination of theoretical analysis and empirical test, the following main empirical results are obtained.
One is, in the study of static model, respectively, from the result of fitting curves of special shape yield comparison, Monte Carlo simulation and empirical research on the three aspects of a comparative iterative local polynomial model and the existing static estimation model fitting effect. Results show that the iterative local polynomial model fitting the yield curve of the minimum absolute error between the bond pricing and the actual transaction price and the RMS error, the best fitting effect. In addition, through the mathematical statistics theory proving and Monte Carlo simulation show that the iterative local polynomial estimation model is asymptotically normal distribution of excellent statistical properties. It is widely applied for the model to lay a solid foundation.
Two, study on the dynamic model, the ability to predict by selecting the Shanghai stock exchange coupon bond transaction data empirical analysis and comparison model in sample fitting and out of sample. The results show that the iterative local polynomial dynamic NS model not only has better than other dynamic models of the sample period fitting effect, more important is to have more samples period prediction ability. In addition, by studying the meaning of dynamic factor iterative local polynomial dynamic NS model shows that the three dynamic factors respectively to describe the yield curve of the level, slope and curvature characteristics to describe the dynamic changes of the yield curve.
Three, in the study of macro financial model, the impulse response function of the macroeconomic impact of the three dynamic factors. The results show that macroeconomic impact on the dynamic factor has significant and lasting influence, especially the influence of the money market the most obvious impact. In addition, select the Shanghai stock exchange treasury bond transaction data analysis to test the predictive ability of macro financial model, after the results showed that the addition of macroeconomic variables, macro financial model can effectively use the macro economy and the yield curve of their information, improve the prediction ability of the model.
Through theoretical investigation and empirical research, some innovative achievements have been achieved in the following aspects:
First, an iterative local polynomial static estimation model, and statistical properties of the model are explored. In combing and analyzing the realistic characteristics of China's bond market and the current yield curve static estimation method based on the proposed iterative local polynomial is suitable for the characteristics of China's market static estimation model, the new model has a better estimation effect confirmed by Monte Carlo simulation and empirical analysis. And study the statistical properties of the model show that the model has statistical properties of asymptotic normal distribution.
The two is an iterative local polynomial dynamic NS model, and the real meaning of the three dynamic factor model are explored. In the dynamic NS model and two step estimation theory, the iterative local polynomial estimation is extended to the dynamic static. The model not only has a better fitting effect in the sample, more important is the ability the prediction has a strong sample. At the same time the research meaning of the three dynamic factors in the model. The results show that the three dynamic factors respectively the yield curve level, slope and curvature characteristics.
The three is an iterative local polynomial model. In the macro financial impact analyzing the impact of macroeconomic variables on the dynamic factor, using vector autoregressive model iterative local polynomial dynamic NS model and macroeconomic variables is proposed based on the macro financial model. Research shows that adding the macro financial model of macro factors can make full use of the macro economy and the yield curve of their information, predictive ability is stronger.
This research has made some useful achievements, but because of the theory and the actual economic data limitations, based on the universality and depth of use of the model is not expected, with the development of the theory and economic data rich, constantly improve and perfect in the follow-up study.

【學位授予單位】：西南財經大學
【學位級別】：博士
【學位授予年份】：2012
【分類號】：F224;F812.5

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