我国债券市场利率期限结构静态分析.docx

摘要我国国债市场经过 20 年左右的发展成绩斐然然而在我国加入 WTO 的新形势下 随着市场化进程的不断加快 我国国债市场依然暴露出了许多急需解决的问题要完善国债市场的运行机制 充分发挥国债作为调控经济的手段这一功能 同时科学的为各种不同期限债券进行定价 对我国国债利率期限结构进行估计分析就成为了相当关键的一个环节目前 对于固定收益证券利率期限结构的模型研究 国外已经有很多较为成熟的理论 包括近二 三十年来基于随机过程的分析 然而 应用到我国国债市场的实际情况 这些模型就或多或少会出现一些不合理的地方 尤其是对国债利率期限结构的估计这方面 鉴于此 本文应用国外两个较为成功的估计模型对我国国债利率期限结构进行分析结合我国的实际国情得出了一些结论文章首先就世界上流行的各种利率期限结构模型进行了介绍和分析 之后重点引入文章实证研究中要使用的两个估计模型 在此基础上 利用上海证券交易所日数据就我国 22 只性质基本上相同的债券进行了分析得出了相应的即期利率曲线理论价格以及其与实际价格的价差 本文估计方法主要采用广义最小二乘法和非线性最优化理论 通过统计软件 sas8.1 进行编程处理 将两种估计模型得出的结论进行了比较指出了更能适合我国国债市场实际情况的估计模型最后 根据估计模型的结论 作者还总结了目前国债市场的一些问题 并就我国债券市场在新形势下给出了一些可行性建议关键词利率期限结构多项式样条贴现因子Nelson Siegel Svensson 模型IAbstractThe market of our national bond has developed for about twenty years. But with thenew condition of WTO and the market economy, our national bond market still exists a lotof problems that need to resolve immediately. To consummate the function mechanism ofnational bond market, scientific pricing for various different terms bonds, the estimationand analysis to national bond interest rate term structure become quite important.Today, there are many theories, models for the fixed-income security interest rate termstructure, including some analysis based on stochastic process. However, when thesetheories and models applied to our country, there will appear something unreasonable moreor less, especially for the estimation to our national bond interest rate term structure. So, inthis paper, we apply two successful models on the estimation of national bond interest rateterm structure. Next, we get some conclusions based on the situation of our country.The article fist introduces and analyses the interest rate term structure modelsprevailed in world. Then it begins to study the two models that will be used in thedemonstration facet. After that, the article analyses twenty-two homogeno us national bondsin Shanghai Security Exchange Bourse and educes the corresponding interest rate curve,theory price and the price difference from the true price. The