【摘要】：利率期限結(jié)是指不同期限國債到期收益率與到期期限之間的關(guān)系,它反映了時間因素對利率的影響。它是資產(chǎn)定價、風(fēng)險管理及套期保值的基礎(chǔ),同時也是中央銀行制定貨幣政策進行宏觀調(diào)控的重要分析工具,在整個金融系統(tǒng)中起著重要的作用。隨著我國社會主義市場經(jīng)濟的不斷發(fā)展、利率市場化的不斷推進、國債規(guī)模的不斷擴大以及國際金融風(fēng)險對我國金融市場的沖擊,對利率期限結(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。然后對國內(nèi)外的研究狀況和理論做了簡要介紹。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,研究它對上交所國債市場利率期限結(jié)構(gòu)的描述效果。為了估計模型參數(shù),本文首先通過Nelson-Siegel模型擬合得到即期利率數(shù)據(jù)。然后由相關(guān)分析得出單因子動態(tài)模型不能很好的描述利率的動態(tài)變化。而通過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出模型參數(shù),并對得到的即期利率的預(yù)測值和調(diào)整值與實際值進行對比,結(jié)果發(fā)現(xiàn)模型對1年期和2年期的預(yù)測效果誤差較大,而對期限較長的預(yù)測效果較好�？傮w上說,三因子仿射模型可以比較準確的描述上交所國債市場利率的動態(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】：安徽財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.5;F224

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本文編號：2462544