基于动态Svensson模型的国债利率期限结构实证分析
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摘要
国债利率期限结构的动态演化特征对利率市场化顺利推进和产品定价有积极意义。使用非平滑FamaBliss方法对交易所市场的国债交易数据进行处理,可以获取实证研究的初始数据,然后扩展静态NSS模型为动态Svensson(LSCC)模型,该模型嵌套了动态Nelson-Siegel(LSC)模型。在利用状态空间模型与Kalman滤波估计出参数后,比较LSCC模型与LSC模型对利率期限结构的拟合与预测能力。结果表明:动态Svensson(LSCC)模型具有更加显著的拟合能力和预测能力,能够更好地反映国债利率期限结构的动态特征。
The term structure of treasure bond yield is a very important part of benchmark interest rate and its dynamic characteristic has positive implication for interest rate liberalization and asset pricing.The paper extends NSS model to Dynamic Svensson Model,which nests the dynamic Nelson-Siegel model as a special case.Then we use state space form model and Kalman filtering to estimate two different models with the original data obtained by non-smooth Fama-Bliss method.Comparing with dynamic Nelson-Siegel model,Dynamic Svensson model is shown to have more outstanding fitting and forecasting ability,which can capture more dynamic information of treasure bond yield.
The term structure of treasure bond yield is a very important part of benchmark interest rate and its dynamic characteristic has positive implication for interest rate liberalization and asset pricing.The paper extends NSS model to Dynamic Svensson Model,which nests the dynamic Nelson-Siegel model as a special case.Then we use state space form model and Kalman filtering to estimate two different models with the original data obtained by non-smooth Fama-Bliss method.Comparing with dynamic Nelson-Siegel model,Dynamic Svensson model is shown to have more outstanding fitting and forecasting ability,which can capture more dynamic information of treasure bond yield.
引文
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[8]Christensen J H E,Diebold F X,Rudebusch G D.An Arbitrage-free Generalized Nelson-Siegel Term Structure Models[J].The Econometrics Journal,2009,12(3).
[9]傅曼丽,屠梅曾,董荣杰.Vasicek状态空间模型与上交所国债利率期限结构实证[J].系统工程理论方法应用,2005(5).
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[14]谈正达,霍良安.无套利Nelson-Siegel模型在中国国债市场的实证分析[J].中国管理科学,2012(6).
[15]朱世武,陈健恒.交易所国债利率期限结构实证研究[J].金融研究,2003(10).
[16]康书隆,王志强.中国国债利率期限结构的风险特征及其内含信息研究[J].世界经济,2010(7).
[17]商勇.利率期限结构的参数估计方法[J].统计与信息论坛,2008(3).
[18]刘琳琳.中国国债利率期限结构实证研究[J].统计与信息论坛,2006(5).
[2]Nelson C,Siegel A.Parsmonious Modeling of Yield Curves[J].Journal of Business,1987,60(4).
[3]Svensson L.Estimating and Interpreting Forward Interest Rates[R].NBER Working Paper,Sweden,1994.
[4]Duffie D,Kan R.A Yield-factor Model of Interest Rate[J].Mathematical Finance,1996,6(4).
[5]Duffee G.Termpremia and Interest Rate Forcasts in Affine Models[J].Journal of Finance,2002,57(1).
[6]Diebold F,Li Canlin.Forecasting the Term Structure of Government Bond Yields[J].Journal of Econometrics,2006,130(2).
[7]Christensen J H E,Diebold F X,Rudebusch G D.The Affine Arbitrage-free Class of Nelson-Siegel Term Structure Models[R].Federal Research Bank of San Francisco Working Papers Series,2007-20,2007.
[8]Christensen J H E,Diebold F X,Rudebusch G D.An Arbitrage-free Generalized Nelson-Siegel Term Structure Models[J].The Econometrics Journal,2009,12(3).
[9]傅曼丽,屠梅曾,董荣杰.Vasicek状态空间模型与上交所国债利率期限结构实证[J].系统工程理论方法应用,2005(5).
[10]胡海鹏,方兆本.中国利率期限结构平滑样条拟合改进研究[J].管理科学学报,2009(12).
[11]周子康,王宁,杨衡.中国国债利率期限结构模型研究与实证分析[J].金融研究,2008(3).
[12]余文龙,王安兴.基于动态Nelson Siegel模型的国债管理策略分析[J].经济学(季刊),2010(3).
[13]沈根祥.基于动态Nelson-Siegel模型的利率期限结构预期理论检验[J].上海经济研究,2010(4).
[14]谈正达,霍良安.无套利Nelson-Siegel模型在中国国债市场的实证分析[J].中国管理科学,2012(6).
[15]朱世武,陈健恒.交易所国债利率期限结构实证研究[J].金融研究,2003(10).
[16]康书隆,王志强.中国国债利率期限结构的风险特征及其内含信息研究[J].世界经济,2010(7).
[17]商勇.利率期限结构的参数估计方法[J].统计与信息论坛,2008(3).
[18]刘琳琳.中国国债利率期限结构实证研究[J].统计与信息论坛,2006(5).