中美利率期限结构静态比较

【作者】 徐健；

【导师】 王晓枫；

【作者基本信息】 东北财经大学 ， 金融学， 2005， 硕士

【摘要】 我国的国债市场自20世纪80年代初恢复发行开始，随着规模的日益扩大，经历了一个由计划管理模式向市场调控模式转变的过程，其作为资源配置、政府宏观经济调控手段的作用日益加强。但是无论从发行方式、品种设计、还是交易制度等方面，国债市场还存在很多不足。本文以利率期限结构理论为切入点，意在通过对我国利率期限结构的构建，来发现我国国债市场中存在的问题以及目前市场中的真实利率水平。 选择利率期限结构理论的原因在于：一方面，它能够为金融产品定价、保值和风险管理提供基准；另一方面，从利率期限结构中还能初步判断出一国的经济周期，未来利率水平，就业程度等重要的信息，一直以来利率期限结构都是金融领域一个十分基础的课题。然而，我国对利率期限结构理论的研究还处于初级阶段，目前的很多研究中甚至混淆了利率期限结构的基本概念，因此，笔者认为从利率期限结构理论最基本的概念出发，准确地构建出反映实际情况的我国真正意义上的利率期限结构，具有很强的实际意义。 另外，由于受到我国市场有效性的限制，利用动态模型对我国利率期限结构进行分析还有很多局限之处。所以，本文选取美国国债市场作为参照，将两国国债市场的利率期限结构进行了静态比较。在比较的过程中，来判断我国国债市场与发达国家国债市场的差异，以及这些差异产生的深层次原因，从而找出我国国债市场的不足之处，并为国债市场的建设提出有效的政策性建议。 在文章的结构上，总共分为选题目的以及理论综述、中美两国利率期限结构静态估计和中美利率期限结构比较分析三个主要组成部分。在第一章，提出了本文选用利率期限结构理论作为理论基础的原因和该理论在国外、国内的发展状况。并注意到在我国目前对于利率期限结构理论的研究中，有很大一部分文章将息票债券的到期收益率曲线与利率期限结构理论中的零息票债券收益率曲线等同起来，其结果并不是该理论中要求的即期利率，从而造成了错误的分析和无效结论。因此，本文在明确利率期限结构理论正确概念更多还原

【Abstract】 Since 1980s, the bond market of our country has developed in surprising speed, experienced the process from planned management to market control, The market function of resources distribution and macroeconomic regulation has been enhanced a lot . But there are still many defects in the issuing manner, variety designing and the other aspects .The objective of this thesis is to find the shortcoming in the bond market and the true market rate by constructing the term structure of China.The reasons for choosing term structure theory as the method are like these .At one hand ,it is the foundation of asset pricing ,financial products design ,hedging and risk management ,arbitraging and investment .At the other hand ,there is a considerable information content associated with the yield curve ,such as economic cycle, future interest level and inflation .So term structure theory has been a very important subject in financial fields .To our country ,the research in this is so primary that there are many confusion of the basic concept of term structure theory in some relevant articles .For this reason ,constructing an accurate term structure on the base of right conception and reality means a great deal to the bond market.Generally speaking, there are three chapters in this paper. The first chapter focuses on the intention of the thesis and the theory development status abroad and in our country. Noting that the confusion in many relevant researches would result in the wrong and ineffective conclusion.The second chapter is the major part of the paper, we selected the exchange data of Chinese and American bond market on Oct.31th 2005 respectively. During the process of choosing data, many problems in our country’ bond market such as lacking in bond variety and liquidity have become obviously. From the computation result, we can find that the term structure of China is quite different from the one of USA, which is directly opposite to the attitude that the yield curve更多还原