基于最小一乘准则的国债利率期限结构实证分析-empirical analysis of term structure of national debt interest rate based on least squares criterion.docxVIP

AbstractThe term structure of interest rates of government bonds is the relationship between maturity duration and rate of return which have the same risk factors. At the present stage, research on this issue has great significance for the development of Chinas financial markets: First, it is an important mean for forecasting interest rate changes; Second, the interest rate of government bonds represents the risk-free interest rate, plus the appropriate risk premium, it can be used for pricing, and risk hedging for various of financial products within a certain error range. However, limited to the development of Chinas bond market, compared with the mature debt market in Europe and the United States, Chinas bond market in the following areas such as the varieties of bond trading, the term structure, the overall market liquidity, and the credit rating system are need to be improved; And, due to historical reasons, Chinas bond market is temporarily divided into two parts which are the exchange bond market and the inter-bank bond market, and subsequently all these factors have hindered the formation and development of Chinas Interest Rate Term Structure.At this stage, the research on the term structure of interest rates for government bonds in theoretical circles, are more generally to use Multi-Spline Function to fit the curve, and to use the Least Squares Method to test the parameters. Meanwhile, as the inter-bank bond market’s transaction data is more difficult to obtain, most studies are based on the exchange market as the research object. But, it also brings some disadvantages: first, due to the presence of outliers, the Least Squares Method tends to enlarge the anomaly, thus, causing the offset of the fitted curve. For these reasons, this paper adopts the Spline Function Model to fit the curve, second, in Chinas two bond markets, not only the inter-bank bond market’s trading scale, bond products, but also the diversification of the transaction entities, are much