【摘要】 论文实证分析中国银行间债券市场风险溢价可预测性,提出国债收益的风险溢价的最佳预测模型。论文比较了多种不同的国债收益的风险溢价的预测模型,研究发现收益曲线的主成分能够预测国债收益的风险溢价,组合收益曲线的第一、第二主成分构成的单一预测变量可以很好地预测债券风险溢价,单一因素可以预测国债收益的风险溢价。更多还原

【Abstract】 In this paper,China inter- bank bond market risk premium is studied.It is found that bond market risk premium is predictable.The principal components of yield curve can be used to predict the bond risk premium.The combination of the first and second principal components of yield curve can be a good predictor of the bond risk premium.更多还原