【摘要】 采用上交所国债数据对利率期限结构的4种构造模型进行较系统的横向对比实证。结果表明多项式样条法、B-样条法在价格拟合度方面占有明显优势;而Nelson-Siegel模型和Svennson模型构造的利率期限结构规范性较好,但其价格拟合度牺牲较多,其结果与债券市场隐含的期限结构有一定差异;B-样条法在利率期限结构的拟合精度、曲线光滑性及平稳性方面的综合效果最好。应用B-样条法对整个样本期国债交易数据的跟踪计算结果表明,该模型算法稳定可靠,能够精确有效地追踪国债利率期限结构的系统性变动,最适合作为当前债券利率期限结构的构造模型。更多还原

【Abstract】 This paper tests and compares four methods of estimating the term structure from on-the-run Government Bonds in SSE.The results show that Polynomial spline and B-spline fit the bond prices better than Nelson-Siegel and(Svensson) models,but the latter models are inclined to give much more standard term structure with lower precision of fitting prices.The result also reveals that B-spline model performs better than other models synthetically in precision of fitting prices,curve smoothness and stability.Track calculation over total sample period indicates that algorithm of B-splines model is steady and reliable,and it can reveal the systematic change of Government bond interest rate term structure accurately and effectively.更多还原