基于Nelson-Siegel-Svensson模型银行间国债利率期限结构的实证研究
|
摘要
首先选取2014年1月至2016年12月三年间的中国银行间国债市场国债交易日数据为数据基础,得出Nelson-Siegel-Svensson(NSS)模型的待估参数。然后使用估计出的NSS模型对国内银行间国债市场的利率进行拟合,由此得出NSS模型拟合出不同期限的的收益率曲线。由拟合结果可以看出中国银行间利率期限结构和传统理论中的流动性偏好理论比较一致。最后,为了对不同期限的利率相关性进行分析,对拟合出的1、2、3、4、5、7、10年期的即期收益率进行了主成分分析,通过主成分分析发现不同期限的利率的相关系数并不等于1,这与单因子动态利率期限结构模型的假设并不一致。
This paper firstly uses particle swarm optimization( PSO) algorithm to obtain the parameters to estimate for the Nelson-Siegel-Svensson( NSS) model on the basis of the daily transaction data of China's interbank bond market from January 2014 to December 2016. And then it uses the NSS model for the domestic inter-bank bond market interest rates by fitting NSS model,which can estimate the term structure of interest rates. This paper analyzes the principal components in 1,2,3 4,5,7,10 years of immediate profit. The research shows that under the current interest rate liberalization,the interest rate term structure of China's interbank bond market is still in line with the expectation theory and liquidity preference theory.
This paper firstly uses particle swarm optimization( PSO) algorithm to obtain the parameters to estimate for the Nelson-Siegel-Svensson( NSS) model on the basis of the daily transaction data of China's interbank bond market from January 2014 to December 2016. And then it uses the NSS model for the domestic inter-bank bond market interest rates by fitting NSS model,which can estimate the term structure of interest rates. This paper analyzes the principal components in 1,2,3 4,5,7,10 years of immediate profit. The research shows that under the current interest rate liberalization,the interest rate term structure of China's interbank bond market is still in line with the expectation theory and liquidity preference theory.
引文
[1]杨宝臣,李彪.基于广义息票剥离法的国债收益率曲线的估计[J].中国管理科学,2004,12(6):1-5.
[2]赵宇龄.中国国债收益率曲线构造的比较分析[J].上海金融,2003(9):29-31.
[3]范龙振,王晓丽.上交所国债市场利率期限结构及其信息价值[J].管理工程学报,2004,18(1):72-75.
[4]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):63-73.
[5]朱峰.国债即期收益率曲线的拟合估计[J].证券市场导报,2003(4):31-36.
[6]傅曼丽,董荣杰,屠梅曾.国债利率期限结构模型的实证比较[J].系统工程,2005,23(8):56-61.
[2]赵宇龄.中国国债收益率曲线构造的比较分析[J].上海金融,2003(9):29-31.
[3]范龙振,王晓丽.上交所国债市场利率期限结构及其信息价值[J].管理工程学报,2004,18(1):72-75.
[4]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):63-73.
[5]朱峰.国债即期收益率曲线的拟合估计[J].证券市场导报,2003(4):31-36.
[6]傅曼丽,董荣杰,屠梅曾.国债利率期限结构模型的实证比较[J].系统工程,2005,23(8):56-61.