国债规模及其最佳发行策略的研究.pdf

国债规模及其最佳发行策略的研究

摘要
国债是弥补财政赤字的工具,国债规模是国债研究领域的重要课
题以及如何确定、优化国债规模,对充
分发挥赤字财政在宏观经济运行中的调节作用、积极防范财政风险和
协调好财政政策与货币政策等具有十分重要的意义。本文主要是分为
无战争和有战争两种情况对国债发行规模进行分析和模拟,并对其提
出最佳发行策略。在无战争情况下,首先以国债利率为状态空间、国
债发行量为决策空间,把鞅过程应用到序贯决策模型中求出国债最优
发行策略;求出每年最佳国债发行总量之后,根据国债各期限结构特
性,结合马氏理论,求出各期限的平稳分布,进而提出各期限国债最
优发行策略。在有战争情况下,分别以带跳跃的国债总量和带跳跃的
国债增长率建立模型来模拟国债总量的增长情况,最后结合以上两种
情况,建立由 Brown 运动和时空 Poisson 过程联合驱动模型来模拟国
债总量和增长率都带跳跃的情况。
关键词:国债规模,战争,发行策略,泊松跳


3
National debt scale and the best distribution strategy

Abstract
Government bonds is a tool to make up deficits, and the scale of government
bonds is a major field of study subjects. Whether the size of government bonds at a
moderate level, and how to determine and optimize the size of Government bonds, is
significant to deficit finance in the macroeconomic performance of the regulatory role,
and actively prevent financial risks and to coordinate fiscal policy and ary
policy. This article is divided into two kinds of non-war and the war situation on the
issuance of treasury bonds scale analysis and simulation, and give the best distribution
strategy. In the non-war situation, we make the bond interest rates for state-space,
bond issuance for decision-making space, and apply the martingale process of
sequential decision-making model to derive the optimal debt issuance strategy;
According to the maturity structure of debt, find the best annual total amount of
treasury bonds, combined with Markov theory, find a smooth distribution of the
period, and then presents the optimal release strategy for the duration of government
bonds. In case of war, respectively, we discuss situations with jumps both in Treasury
bond volume and growth rate of the establishment of model to simulate the growth of
the total national debt, and use the bination of the above two situations, the
establishment of Brown movement and the joint space-time Poisson process-driven
model to simulate the sit