国债收益率曲线及其波动的实证研究.pdf

对外经济贸易大学
硕士学位论文
国债收益率曲线及其波动的实证研究
姓名:吴云亚
申请学位级别:硕士
专业:金融学
指导教师:于瑾
20040401
提要


提要
国债市场是债券市场的基础和重要组成部分国债收益率及其收益率曲线的
形状和变动对债券市场乃至整个金融市场都具有重要意义本文就是从利率期限
结构理论出发研究收益率曲线系统介绍了国内外关于国债收益率曲线拟合研究
的成果并运用两种较为成熟的方法多项式样条插值法和
Nelson-Siegel-Svensson参数模型法对我国国债市场收益率曲线进行实证拟合通
过拟合结果比较选择后者作为较适合我国实际情况的方法接下来对用参数模型
法拟合出来的收益率曲线选取一年时间采用主成分分析研究国债收益率曲线变
动模式特征在以上实证研究的基础上分析我国国债收益率曲线形态特征和所
反映的问题所在追溯到国债市场目前的发展状况和存在问题最后笔者基于
对市场的潜在影响因素的认识对我国国债收益率曲线将会出现的变化和调整进
行了预测
本文力图在以下几方面做到有所创新首先对纷繁芜杂的收益率曲线拟合
技术进行归纳和系统介绍力求提炼出众多研究成果中的代表性其次以利率
期限结构的理论为基石结合我国国债市场的实际情况来评判模型拟合的优劣最
后革除了范式论文现状问题对策的三段式格局以理论的逻辑框架为
线索并将理论的实证结果用于对国债市场的深层次分析










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提要


abstract
Treasury bond market is an ponent and the base of the bond
market. And the yield of treasury bond as well as the shape and volatility of yield
curve bear an important meaning to the treasury bond market and even the whole
financial market. This thesis is to study the yield curve upon the basis theories of term
structure. It introduces all the research achievements domestic and abroad of
modeling the yield curve of treasury bond systematically, applies two typical
methods----polynomial splines method and Nelson-Siegel-Svensson parameter
model----to China bond market, and considers the latter as the better method after
comparing the results. Then the ponents analysis is used to study the
volatility characteristic of the yield curve which are simulated by the parameter model.
Based on demonstration, this thesis analyzes the characteristics and the embedded
problems of the curve and looks into the bond market to find out the roots of these
problems. At last, the thesis foresees the performance of the yield curve according to
the potential influential factors.
This thesis tries to blaze some new trails as follows: firstly, it strives to sum up
numerous plicated research results and approaches about yield curve so as to
choose several typical methods; secondly, it eva