發(fā)布時(shí)間：2018-01-04 11:35

  本文關(guān)鍵詞：考慮GARCH效應(yīng)的動(dòng)態(tài)無(wú)套利Nelson-Siegel模型及國(guó)債管理策略分析　出處：《廈門(mén)大學(xué)》2014年碩士論文　論文類(lèi)型：學(xué)位論文

  更多相關(guān)文章： 利率期限結(jié)構(gòu) GARCH效應(yīng) 動(dòng)態(tài)無(wú)套利NS模型

【摘要】：利率期限結(jié)構(gòu)不僅是一國(guó)宏觀經(jīng)濟(jì)運(yùn)行中的一個(gè)重要指標(biāo),在金融市場(chǎng)中影響各類(lèi)金融產(chǎn)品的定價(jià),在微觀層面調(diào)節(jié)投融資決策,在世界經(jīng)濟(jì)中基于購(gòu)買(mǎi)力平價(jià)對(duì)各國(guó)之間匯率變化起到基準(zhǔn)調(diào)節(jié)作用。黨的十八屆三中全會(huì)決議更是明確提出“加快推進(jìn)利率市場(chǎng)化,健全反映市場(chǎng)供求關(guān)系的國(guó)債收益率曲線”,并將其納入國(guó)家核心發(fā)展戰(zhàn)略。因此,學(xué)術(shù)界和實(shí)務(wù)界一直以來(lái)都在尋找能夠更好地?cái)M合和預(yù)測(cè)利率演化過(guò)程的期限結(jié)構(gòu)模型。 本文在廣泛使用的傳統(tǒng)Nelson-Siegel模型和具有堅(jiān)實(shí)經(jīng)濟(jì)基礎(chǔ)的無(wú)套利Nelson-Siegel基礎(chǔ)上,考慮不同時(shí)點(diǎn)、不同期限可能出現(xiàn)的條件異方差因素,得到考慮GARCH的動(dòng)態(tài)無(wú)套利Nelson-Siegel模型。 G-AFNS模型仍舊采用NS族模型的水平因子、斜率因子和曲率因子作為三個(gè)狀態(tài)變量,在對(duì)2005年1月至2012年11月中國(guó)交易所國(guó)債市場(chǎng)上的利率期限結(jié)構(gòu)進(jìn)行研究之后,發(fā)現(xiàn)G-AFNS模型樣本內(nèi)擬合程度較高,在進(jìn)行利率預(yù)測(cè)時(shí),預(yù)測(cè)能力明顯優(yōu)于傳統(tǒng)的DNS模型和無(wú)套利AFNS模型,說(shuō)明考慮條件異方差之后預(yù)測(cè)能力顯著提高,G-AFNS模型適合應(yīng)用于我國(guó)國(guó)債市場(chǎng)上。 接下來(lái)在國(guó)債管理策略分析方面,主要側(cè)重債券免疫組合的構(gòu)造,與DNS向量久期一致,通過(guò)水平因子久期、斜率因子久期和曲率因子久期的完全匹配,來(lái)消除利率期限結(jié)構(gòu)變化給債券組合價(jià)值帶來(lái)的利率風(fēng)險(xiǎn)敝口。本文分別考察了每隔1個(gè)月、2個(gè)月和3個(gè)月進(jìn)行免疫組合調(diào)整,結(jié)果認(rèn)為在中國(guó)交易所國(guó)債市場(chǎng)上,如果利率期限結(jié)構(gòu)不出現(xiàn)突變,每2個(gè)月進(jìn)行一次組合調(diào)整來(lái)保證免疫效果,應(yīng)該是較為科學(xué)合理的頻率。
[Abstract]:Term structure of interest rate is not only an important index in the macroeconomic operation of a country, but also influences the pricing of all kinds of financial products in the financial market and adjusts the investment and financing decisions at the micro level. In the world economy, based on purchasing power parity, the exchange rate changes between countries play a benchmark role. The resolution of the third Plenary session of the 18 CPC Central Committee specifically proposed "accelerating the promotion of interest rate marketization." Improve the bond yield curve that reflects the relationship between supply and demand in the market "and incorporate it into the national core development strategy. The academic and practical circles have been looking for a term structure model which can better fit and predict the evolution of interest rate. In this paper, based on the widely used traditional Nelson-Siegel model and the non-arbitrage Nelson-Siegel with solid economic foundation, different points are considered. Considering the conditional heteroscedasticity factors of different periods, a dynamic arbitrage free Nelson-Siegel model considering GARCH is obtained. G-AFNS model still uses the horizontal factor, slope factor and curvature factor of NS family model as three state variables. After studying the term structure of interest rate in the treasury bond market of China Stock Exchange from January 2005 to November 2012, it is found that the G-AFNS model has a higher fitting degree in the sample. In the forecasting of interest rate, the forecasting ability is obviously superior to the traditional DNS model and the AFNS model without arbitrage, which shows that the forecasting ability is improved significantly after considering conditional heteroscedasticity. G-AFNS model is suitable to be applied to the national debt market of our country. Then, in the analysis of treasury bond management strategy, we focus on the construction of bond immune combination, which is consistent with DNS vector duration, through the complete matching of horizontal factor duration, slope factor duration and curvature factor duration. In order to eliminate the interest rate risk brought by the change of term structure of interest rate on the value of bond portfolio, this paper investigates the immune portfolio adjustment every 1 month, 2 months and 3 months, respectively. The results show that if the term structure of interest rate does not change every two months to ensure the immune effect, it should be a more scientific and reasonable frequency.
【學(xué)位授予單位】：廈門(mén)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F832.51;F224

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