本文選題：債券　切入點(diǎn)：風(fēng)險(xiǎn)溢價(jià)　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】：伴隨著我國債券市場的發(fā)展壯大和利率市場化改革的不斷推進(jìn),市場對于預(yù)測債券未來風(fēng)險(xiǎn)溢價(jià)提出了越來越高的要求。本文采用國外成熟的遠(yuǎn)期利率模型來預(yù)測債券未來的超額收益,并在預(yù)測結(jié)果的基礎(chǔ)上構(gòu)建積極的債券投資策略,最后將遠(yuǎn)期利率模型的預(yù)測能力和投資效果與傳統(tǒng)的收益率曲線主成分因子模型進(jìn)行對比分析,取得了較好的實(shí)證結(jié)果。首先,本文在梳理國內(nèi)外相關(guān)文獻(xiàn)的基礎(chǔ)上,提出將國外成熟的遠(yuǎn)期利率模型應(yīng)用于我國銀行間國債市場。本文采用國內(nèi)最新的債券市場數(shù)據(jù)進(jìn)行擬合回歸,發(fā)現(xiàn)在中國國債市場上遠(yuǎn)期利率對于債券超額收益確實(shí)具有顯著的預(yù)測能力,而且這種預(yù)測能力隨著債券到期時間的增加而增強(qiáng)。其次,本文將遠(yuǎn)期利率模型的預(yù)測結(jié)果用于構(gòu)建債券積極投資策略,以此來驗(yàn)證預(yù)測結(jié)果是否具有實(shí)踐價(jià)值。我們的實(shí)證結(jié)果顯示,無論采用雷曼權(quán)重法還是兩翼組合法,無論預(yù)測跨度為1周還是4周,本文模型構(gòu)造的投資組合都具有顯著的投資收益。最后,本文比較了遠(yuǎn)期利率模型和主成分因子模型的預(yù)測能力和投資效果。從模型的預(yù)測能力來看,無論在1周預(yù)測跨度條件下還是在4周預(yù)測跨度條件下,本文提出的遠(yuǎn)期利率模型所具有的預(yù)測能力要普遍高于傳統(tǒng)的主成分因子模型。從模型構(gòu)造策略的投資效果來看,在1周預(yù)測跨度下,遠(yuǎn)期利率模型預(yù)測結(jié)果構(gòu)建的投資組合在投資業(yè)績和投資成本方面均優(yōu)于基于收益率曲線主成分因子預(yù)測結(jié)果構(gòu)建的投資組合。在4周預(yù)測跨度下,兩種模型在投資業(yè)績和投資成本方面各有優(yōu)勢。
[Abstract]:With the development of China's bond market and the promotion of market-oriented interest rate reform, In this paper, the mature forward interest rate model is used to predict the future excess yield of bonds, and an active bond investment strategy is constructed on the basis of the forecast results. Finally, the forecasting ability and investment effect of forward interest rate model are compared with the traditional principal component factor model of yield curve, and good empirical results are obtained. This paper puts forward the application of foreign mature forward interest rate model to the interbank treasury bond market in China. This paper uses the latest domestic bond market data to fit the regression. It is found that forward interest rates do have a significant ability to predict excess bond yields in the Chinese treasury bond market, and this ability increases with the maturity of bonds. Secondly, In this paper, the forecasting results of forward interest rate model are used to construct the positive investment strategy of bonds to verify whether the forecast results have practical value. Our empirical results show that both Lehman weight method and two-wing combination method are used. Whether the forecast span is 1 week or 4 weeks, the portfolio constructed by this model has significant investment returns. Finally, In this paper, the forecasting ability and investment effect of forward interest rate model and principal component factor model are compared. The forward interest rate model proposed in this paper is generally superior to the traditional principal component factor model. From the view of the investment effect of the model construction strategy, under the forecast span of one week, The portfolio constructed by the forecasting results of the forward interest rate model is superior to the portfolio constructed based on the principal component prediction results of the yield curve in terms of investment performance and investment cost. The two models have respective advantages in terms of investment performance and investment cost.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51

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本文編號：1584201