兰州大学机构库 >数学与统计学院
基于Nelson-Siegel模型对国债利率期限结构的实证研究
Alternative TitleEmpirical research on term structure of national debt interest rate based on Nelson-Siegel model
高丽丽
Thesis Advisor刘卫玮
2018-04-01
Degree Grantor兰州大学
Place of Conferral兰州
Degree Name硕士
Keyword利率期限结构 Nelson-Siegel模型 潜在因子 宏观经济变量
Abstract

利率的期限结构是指在同等风险水平下,不同剩余期限资金的利率和剩余期限之间的关系以及变化规律。在金融行业、经济学领域,它是一个具有重大意义的基础研究。在宏观层面,中央银行在进行货币政策的制定与具体实施的时候,可从其中获得信息支持;在微观层面上,利率的期限结构是所有固收类证券定价、金融衍生品定价、资产定价、揭示利率市场变化的总体水平和方向的基础,是投资者的基本分析工具。

因此,本文主要是基于原始Nelson-Siegel(NS)模型、动态Nelson-Siegel (DNS)模型、动态Nelson-Siegel-Svensson(DNSS)模型,对我国2007年1月至2016年12月间的国债收益率月度数据进行模型拟合,发现DNS模型、DNSS模型对数据的拟合效果较NS模型理想。随后应用拟合效果较好的模型对数据进行向前预测,经研究比较,发现DNSS模型的预测效果比DNS模型要好。最后,为了进一步探究利率期限结构与市场上的宏观经济变量之间的动态交互作用,在文章的第五章选取了四个具有代表性宏观经济变量,将其与DNSS模型潜在参数因子共同建立VAR模型,分析两者之间的动态交互作用的关系。

Other Abstract

The term structure of the interest rate is the relationship between the bond interest rate and the remaining maturity of the different residual periods and the law of change at the same level of risk. In the field of Finance and economics, it is a fundamental research with great significance. At the macro level, the central bank can obtain information support from it in the formulation and implementation of monetary policy. At the micro level, the term structure of interest rates is the basis for all fixed-income securities pricing, financial derivatives pricing, asset pricing, and disclosure of the overall level and direction of interest rate market changes. And it is a basic analysis tool for investors.

Therefore, this paper is mainly based on the original Nelson-Siegel (NS) model,  dynamic Nelson-Siegel (DNS) model, and dynamic Nelson-Siegel-Svensson (DNSS) model to fit the monthly data of China's bond yield from January 2007 to December 2016. And it is found that the fitting effect of DNS model and DNSS model is better than NS model. Then the data is predicted by the model with better fitting effect, and the prediction effect of the DNSS model is better than the DNS model. Finally, in order to further explore the dynamic interaction between the term structure of interest rates and macroeconomic variables in the market, in the fifth chapter of the article, four representative macroeconomic variables were selected. It establishes a VAR model together with the potential parameters of the DNSS model, and analyzes the dynamic interaction between the two.

URL查看原文
Language中文
Document Type学位论文
Identifierhttps://ir.lzu.edu.cn/handle/262010/225214
Collection数学与统计学院
Recommended Citation
GB/T 7714
高丽丽. 基于Nelson-Siegel模型对国债利率期限结构的实证研究[D]. 兰州. 兰州大学,2018.
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