中国市场收益率曲线构建比较研究
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摘要
在过去数十年间,固定收益产品市场经历了飞速发展。大量的固定收益创新产品被成功的开发并应用于金融市场。统计显示,当前固定收益资产的总价值占到了整个证券市场价值的三分之二。无论从投资者的角度还是从发行人的角度,理解这些产品是如何定价的具有非常重要的实际意义。近年来,随着我国金融市场的发展和开放,债券市场不断扩大,理解并建立适合我国金融市场发展的合理、有效的且能起到基准作用的收益率曲线是我国金融领域无论实际工作者还是理论学术研究人员都非常关心的研究内容。
本论文的主要目的是比较研究适合国内目前发展状况的市场收益率曲线(利率期限结构)以及其变动特征。
论文首先简单的介绍了研究的背景与研究动机;接下来对以往利率期限结构的研究文献做了较全面的回顾,特别是对动态利率期限结构模型按照自然的方式(因子变量个数、是否仿射性、是否均衡模型)做了分类介绍,并讨论了各种静态与动态利率期限结构模型的特点及优缺点,为建立适合我国银行间债券市场的利率期限结构模型奠定基础;第三章为基准市场收益率曲线体系比较研究,主要是通过主成分分析及因子分析方法对SHIBOR收益率曲线及银行间债券市场收益率曲线进行定量分析比较,结果表明SHIBOR利率曲线当前尚不足成为我国利率市场化改革中的基准利率体系,并对其深层次原因进行了探讨;相较而言,债券市场收益率曲线在当前更适合作为基准利率曲线。在确定债券市场收益率曲线作为研究对象后,论文针对银行间债券市场对传统的静态收益率曲线模型(多项式样条方法、Nelson-Siegel模型与Svensson模型)进行比较研究,然后在此基础上探讨我国债券市场收益率曲线是否存在税收效应,结果发现我国银行间债券市场存在税收效应,并且,考虑了税收效应的Svensson模型具有更好地收益率曲线拟合效果。
对于利率期限结构模型,除了要求能较好地拟合市场价格外,还有一点很重要,即要求期限结构曲线在时间上保持稳定。然而,在具有小样本特征的市场中,静态利率期限结构模型得到的收益率曲线容易不稳定。第五章通过动态利率期限结构模型与面板数据相结合的方法,以弥补我国当前债券市场交易品种相对较少、交易相对不活跃的现状。通过实证比较分析,发现通过该方法估计得到的收益率曲线不仅有较好的拟合性,同时通过它估计出来的收益率曲线相对传统的静态利率期限结构方法得到的收益率曲线具有较好的时间上的稳定性。
最后,鉴于国外研究表明,瞬时利率变化的波动率会影响收益率曲线的曲率,因此若瞬时利率的变动的波动率存在状态转换结构而又在建模时没有把它考虑进来,则波动率的持续性参数虚高会放大收益率曲线的驼峰形状。论文对我国瞬时利率及其变化波动率的动态行为做了实证比较研究。实证结果发现国内利率市场确实存在马尔可夫状态转换现象。
Since the last decades, fixed income market has experienced fast growth. A great deal of innovation products are successfully introduced into this market. A survey indicates that about two-part of the whole security market value comes from the fixed income market. Thus, understanding how these products price is vital for both issuers and investors. Recently, with the development of China's opening-up and reforming, its bond market becomes larger and larger. Constructing a reasonable and effective benchmark yield curve is also an important issue for both practitioners and scholar researchers.
The aim of this dissertation is to find reasonable yield curve (models) and characteristic of the moving modes of the yield curve adapted to China's current condition.
At the beginning of the dissertation we introduce the background and motives of this study simply. Then review the past study about the interest rate term structure, especially introduce the dynamic interest rate term structure model according to a nature taxonomy, i.e. how many factors, whether affine or whether equilibrium model. In addition, the dissertation discusses the traits of those models. The third chapter compares the Shibor curve and interbank bond market zero yield curve with the tools of principle components analysis and factor analysis. The qualitative and quantitative analysis results show that the zero yield curves derived from risk-free bond of the interbank bond market may used as benchmark, while Shibor yield curve currently lacks of the benchmark function. After this work, the dissertation empirically compares the traditional static interest rate term structure model, i.e. B-spline method, Nelson-Siegel model and Svensson model using the data of the risk-free bond in the interbank market in order to find the best model. The results show that there exists tax effect in the zero yield curve of the interbank bond market. That's, the Svensson model considering tax-effect has more power of good-of-fitness.
Besides good-of-fitness, the stability in time is the same important for yield curve. However, in the low frequency trading bond market the static interest rate term structure usually are not stable. To overcome the short of the interbank bond market, which has relative few bond types and less trading frequency, the dissertation combines the dynamic interest rate model and panel data to estimate the current yield curve in the fifth chapter. The study finds that this dynamic method gets not only sound good-of-fitness but also satisfied stability in time.
Due to the importance of dynamic behavior of the short-time rate for dynamic interest term structure and volatility of the short-time rate for curvature of the yield curve, the dissertation also studies the behavior of the short-time rate and its volatility. The empirical results show there indeed exists Markov regime switching in the short-time rate of China.
本论文的主要目的是比较研究适合国内目前发展状况的市场收益率曲线(利率期限结构)以及其变动特征。
论文首先简单的介绍了研究的背景与研究动机;接下来对以往利率期限结构的研究文献做了较全面的回顾,特别是对动态利率期限结构模型按照自然的方式(因子变量个数、是否仿射性、是否均衡模型)做了分类介绍,并讨论了各种静态与动态利率期限结构模型的特点及优缺点,为建立适合我国银行间债券市场的利率期限结构模型奠定基础;第三章为基准市场收益率曲线体系比较研究,主要是通过主成分分析及因子分析方法对SHIBOR收益率曲线及银行间债券市场收益率曲线进行定量分析比较,结果表明SHIBOR利率曲线当前尚不足成为我国利率市场化改革中的基准利率体系,并对其深层次原因进行了探讨;相较而言,债券市场收益率曲线在当前更适合作为基准利率曲线。在确定债券市场收益率曲线作为研究对象后,论文针对银行间债券市场对传统的静态收益率曲线模型(多项式样条方法、Nelson-Siegel模型与Svensson模型)进行比较研究,然后在此基础上探讨我国债券市场收益率曲线是否存在税收效应,结果发现我国银行间债券市场存在税收效应,并且,考虑了税收效应的Svensson模型具有更好地收益率曲线拟合效果。
对于利率期限结构模型,除了要求能较好地拟合市场价格外,还有一点很重要,即要求期限结构曲线在时间上保持稳定。然而,在具有小样本特征的市场中,静态利率期限结构模型得到的收益率曲线容易不稳定。第五章通过动态利率期限结构模型与面板数据相结合的方法,以弥补我国当前债券市场交易品种相对较少、交易相对不活跃的现状。通过实证比较分析,发现通过该方法估计得到的收益率曲线不仅有较好的拟合性,同时通过它估计出来的收益率曲线相对传统的静态利率期限结构方法得到的收益率曲线具有较好的时间上的稳定性。
最后,鉴于国外研究表明,瞬时利率变化的波动率会影响收益率曲线的曲率,因此若瞬时利率的变动的波动率存在状态转换结构而又在建模时没有把它考虑进来,则波动率的持续性参数虚高会放大收益率曲线的驼峰形状。论文对我国瞬时利率及其变化波动率的动态行为做了实证比较研究。实证结果发现国内利率市场确实存在马尔可夫状态转换现象。
Since the last decades, fixed income market has experienced fast growth. A great deal of innovation products are successfully introduced into this market. A survey indicates that about two-part of the whole security market value comes from the fixed income market. Thus, understanding how these products price is vital for both issuers and investors. Recently, with the development of China's opening-up and reforming, its bond market becomes larger and larger. Constructing a reasonable and effective benchmark yield curve is also an important issue for both practitioners and scholar researchers.
The aim of this dissertation is to find reasonable yield curve (models) and characteristic of the moving modes of the yield curve adapted to China's current condition.
At the beginning of the dissertation we introduce the background and motives of this study simply. Then review the past study about the interest rate term structure, especially introduce the dynamic interest rate term structure model according to a nature taxonomy, i.e. how many factors, whether affine or whether equilibrium model. In addition, the dissertation discusses the traits of those models. The third chapter compares the Shibor curve and interbank bond market zero yield curve with the tools of principle components analysis and factor analysis. The qualitative and quantitative analysis results show that the zero yield curves derived from risk-free bond of the interbank bond market may used as benchmark, while Shibor yield curve currently lacks of the benchmark function. After this work, the dissertation empirically compares the traditional static interest rate term structure model, i.e. B-spline method, Nelson-Siegel model and Svensson model using the data of the risk-free bond in the interbank market in order to find the best model. The results show that there exists tax effect in the zero yield curve of the interbank bond market. That's, the Svensson model considering tax-effect has more power of good-of-fitness.
Besides good-of-fitness, the stability in time is the same important for yield curve. However, in the low frequency trading bond market the static interest rate term structure usually are not stable. To overcome the short of the interbank bond market, which has relative few bond types and less trading frequency, the dissertation combines the dynamic interest rate model and panel data to estimate the current yield curve in the fifth chapter. The study finds that this dynamic method gets not only sound good-of-fitness but also satisfied stability in time.
Due to the importance of dynamic behavior of the short-time rate for dynamic interest term structure and volatility of the short-time rate for curvature of the yield curve, the dissertation also studies the behavior of the short-time rate and its volatility. The empirical results show there indeed exists Markov regime switching in the short-time rate of China.
引文
[1]可参见http://www.chinabond.com.cn《英美两国收益率曲线与公允价值考察报告》
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