利率期限结构和附息国债定价的实证研究.docVIP

利率期限结构和附息国债定价的实证研究 The Empirical Study on Term Structure of Interest Rate and Treasury Bond Pricing （详细摘要） 学科专业：工商管理 研 究 生：孙广宜 指导教师：杨宝臣 教授 天津大学管理学院学院 二零零三年十二月 ABSTRACT The paper conducts research on the term structure of interest rate and treasury bond pricing． The paper first analyzes Chinese treasury security market and its structure, and points out that there are some matters in China treasury security’s pricing system and technology which go against healthy development of treasury security markets, and also some opportunities we should grasp．The paper also proposes some systematic and feasible policy advices on reformation of treasury security market． The term structure of interest rate is the foundation of asset pricing, financial　products design, hedging and risk management, arbitrag and investment．The paper introduces three traditional theories on term structure of interest rate：expectation theory, liquidity preference theory, preferred habitat theory, and analyzes the advantages and limitations of each theoryFurthermore, the paper describes two modern models of the term structure of interest rate since 1980：Equilibrium Model and Norbitrage Model． At last, an empirical study．The paper a static approximation of term structure of interest rate in China using eight listed treasury bonds in Shanghai Securities Exchange．Based on the term structure of interest rate, the paper makes a theoretical pricing to the bond 010214, so as to make some contributions to the research of treasury bond pricing and term structure of interest rate model in China. KEY WORDS：term structure of interest rate， bond，treasury security market，treasury security pricing我国债券市场起步较晚。1996年以前，我国债券市场主要以交易所市场和银行柜台凭证式国债市场为主，两个市场交易条件不一，不能相互流通和转让。96年底，国务院下发文件规定，不得以信贷资金购买国债，商业银行遂退出交易所市场，持有国债相应减少。1997年6月，人民银行允许各商业银行使用在中央国债登记结算有限责任公司托管的国债、政策性金融债和中央银行融资券进行回购和现券买卖，银行间债券市场开始运行。随着市场经济的发展和我国加入WTO之后资本项目逐步开放的趋势，债券市场的发展不能满足经济发展的需要。需要大力发展债券市场，完善市场融资体系。我国从1981年恢复发行国债，在二十多年里国债市场有了长足的发展，不仅国债发行规模扩大，国债品种多样化，而且国