本文選題：國債市場 + 收益率曲線　； 參考：《南方金融》2017年04期

【摘要】：基于中債收益率曲線數(shù)據(jù),采用JSZ正則化方法,構(gòu)建以三個主成分作為可觀測定價因子的高斯仿射模型,研究我國國債利率期限結(jié)構(gòu)的擬合和預(yù)測效果,在此基礎(chǔ)上提取利率期限結(jié)構(gòu)中隱含的期限溢價信息。實證分析表明:可觀測高斯仿射模型對我國國債利率期限結(jié)構(gòu)具有良好的擬合和預(yù)測效果;我國國債利率的期限溢價在統(tǒng)計上顯著存在,且隨著期限的增加呈現(xiàn)出先增后減的特征;我國國債利率的期限溢價水平與經(jīng)濟景氣高度相關(guān),在經(jīng)濟下行時趨于上升,在經(jīng)濟向好時則趨于下降。
[Abstract]:Based on the data of Chinese bond yield curve and JSZ regularization method, a Gao Si affine model with three principal components as the observable pricing factor is constructed to study the fitting and forecasting effect of the term structure of the interest rate of China's treasury bonds. On this basis, the term premium information implied in the term structure of interest rate is extracted. The empirical analysis shows that the observable Gao Si affine model has a good effect on fitting and predicting the term structure of national debt interest rate in China, and the term premium of national debt interest rate is statistically significant. The term premium level of national debt interest rate in China is highly related to the economic boom, and tends to rise when the economy is down, and then to decline when the economy is good.
【作者單位】： 阜陽師范學(xué)院;
【分類號】：F812.5;F832.51
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本文編號：1957439