【作者】 伍鹤；

【导师】 史代敏；

【作者基本信息】 西南财经大学 ， 数量经济学， 2007， 硕士

【摘要】 当前,我国正在积极推进利率体制和汇率体制的市场化改革,随着市场化改革的不断深化,作为无风险利率的国债利率以及由不同到期期限的国债收益率组成的利率期限结构将在提供市场定价基础、促进债券市场的发展和完善、丰富央行调控工具和加强央行调控能力、提升金融机构的投资管理与风险控制水平等方面发挥越来越重要的作用。我国国债市场经过20年左右的发展,取得了巨大的发展。然而随着市场化进程的不断加快,我国国债市场以及国债利率期限结构逐渐暴露出许多急需解决的问题,要完善国债市场的运行机制,充分发挥国债利率期限结构在宏观经济调控、风险管理、资产定价等方面的重要作用,结合我国国债市场的特点对利率期限结构进行估计和分析就具有了重要的理论和实践意义。本文的研究思路是从利率期限结构理论入手,从利率期限结构形成假设、估计利率期限结构的方法与模型、利率期限结构动态模型和利率期限结构自身形态研究等四个方面对国内外研究现状进行述评。以此为基础,并结合我国国债市场的特点构建了估计和分析我国利率期限结构的模型。根据我国国债市场自身的特点,从实证的角度,拟合交易所和银行间市场国债收益率曲线,并以国债7天回购利率数据作为短期利率的代表,对比验证参数和非参数的方法是否适用研究我国短期利率的波动行为。最后结合实证研究的结果,探讨完善我国国债市场和国债利率期限结构的思路和方向。本文共分为五章,结构安排如下:第一章是前言。简要阐述了本文研究的背景,分析了在我国进行利率期限结构研究所具有的理论意义和实践意义,在对国内研究现状进行评述的基础上,介绍本文的研究内容,同时说明了本文主要采用理论分析和实证分析相结合的方法进行研究。第二章是文献评述。本章主要回顾和评述了国内外对利率期限结构的相关研究。从利率期限结构形成假设、静态估计、利率期限结构自身形态和利率期限结构的动态模型等四方面对国外的利率期限结构研究进行分析评述。本章还对国内的一些利率期限结构研究进行了述评。第三章是我国国债利率期限结构研究的理论基础。本章以我国国债市场的历史回顾为研究起点,系统剖析我国国债市场的现状和特点,在全面分析已有模型和方法的基础上,构建出估计和分析我国国债利率期限结构的模型。第四章是我国国债利率期限结构的实证研究。本章利用我国的实际数据,采用息票剥离法、多项式样条法和Nelson-Siegel扩展模型分别对我国交易所国债市场和银行间国债市场的利率期限结构进行估计和分析,并对比实证分析的结果,分析我国国债市场的静态特征。使用国债回购数据,运用参数方法对我国利率期限结构的动态变化特征进行研究。本章还使用非参数的方法对利率期限结构的动态特征进行研究,并对比非参数方法和参数方法对我国国债利率期限结构实证研究的结果。第五章是我国国债利率期限结构的对比研究及思考。本章将交易所国债市场和银行间国债市场的利率期限结构的静态特征进行了对比,分析了产生差异的原因。并将中美两国的利率期限结构进行了对比,分析中美两国在利率期限结构方面产生差异的原因。根据实证研究和国内外对比的结果,探讨了完善我国利率期限结构和发展我国国债市场的思路和方向。本文主要完成了以下工作:运用多种模型对我国国债利率期限结构进行估计。目前,对于固定收益证券利率期限结构的模型研究,国外已经有很多较为成熟的理论,然而,应用到我国国债市场的实际情况,这些模型就或多或少会出现一些不合理的地方,尤其是对国债利率期限结构的估计方面。鉴于此,本文在对各种模型和方法的优劣进行比较的基础上,应用息票剥离法、多项式样条法和Nelson-Siegel扩展模型对我国国债利率期限结构进行估计,对比三种模型估计我国国债利率期限结构的优劣。由于我国国债市场分为交易所市场和银行间市场(本文不考虑柜台市场),本文分别对两个市场的国债利率期限结构进行了估计,并对两个市场的期限结构进行对比,得出了一些结论。本文在现有的利率期限结构动态模型的基础上,建立了非参数利率期限结构模型。这种非参数模型依靠数据说话,克服了传统的参数化模型事先对利率的概率分布和参数形式进行某种假设的缺点。本文以交易所7天国债回购利率为样本,对建立的非参数利率期限结构模型进行了实证分析,并与参数化利率期限结构模型的代表Vasicek模型和CIR模型的实证结果进行了比较分析,得出了一定的结论。本文选取美国同期国债市场的交易数据,利用相同方法进行了利率期限结构的静态估计。通过对中美两国利率期限结构的比较,找出我国国债市场目前存在的问题,并探讨解决问题的思路和途径。本文的主要结论有:从静态特征上分析,我国的利率期限结构已经初步具备市场经济国家的特征。通过样条函数、息票剥离法和Nelson-Siegel扩展模型对我国利率期限结构的静态估计,本文发现我国的国债利率期限结构整体呈现出向上的趋势,长期利率高于短期利率。对比研究表明,我国交易所市场国债利率期限结构和银行间市场国债利率期限结构存在明显的差异,且这种差异没有规律可寻,处于分割状态。这种差异和分割状态不利于一个基准市场利率的形成,进而不利于市场化进程的推进。通过对中美利率期限结构的对比可以看出,与美国的利率期限结构相比,我国的利率期限结构存在着许多的不完善,这种不完善是中国特殊的经济制度背景和国债市场的人为割裂造成的。与参数化模型相比,非参数方法能更准确地描述我国国债利率期限结构的状况。本文在对我国国债利率期限结构进行深入分析和全面对比的基础上,提出了完善我国国债市场和国债利率期限结构的思路和方向。本文认为要改变我国利率期限结构的不合理状态,最有效的方法就是将交易所市场和银行间债券市场统一起来,建立一个统一的国债市场。通过资本在两个不同市场之间的自由流动,促进市场的完善以及统一的市场基准利率的生成,为我国的利率市场化奠定一个坚实的基础。更多还原

【Abstract】 China’s market oriented reform on interest rate and exchange rate is proceeding steadily, as the reform goes further, the interest rate of government bond and the term structure of government bonds yielding with different maturity dates will become the pricing bench and cast great influence on the development of bond market.The market of our government bond has developed for about 20years, but with the market oriented reform goes further, our government bond market and the term structure of interest rate of government bond gradually expose some problems that need to be resolved immediately. To consummate the mechanism of government bond market, to exert the function of macroeconomic regulation、risk management and asset pricing, the estimation and analysis of government bond term structure of interest rate become more and more important.The paper starts the study from the theory of term structure of interest rate, and then review the literature in four aspects, including the hypothesis of term structure、the estimation of term structure、micro analysis of term structure shape and dynamic models of term structure. Based on the character of our government bond market, the paper establishes the model to estimating and analyzing the government bond term structure of interest rate. In empirical test part, the paper uses the data in our government bond market to study the static character and dynamic behavior of term structure of interest rate in our country. According to the result of the empirical test, the paper discusses the thinking and direction to consummate the government bond market and term structure of interest rate.The main study work of this paper is the followings:Employ some models to estimate government bond interest rate term structure of our country. Today there are many theories and models for the fixed-income security term structure of interest rate. However, when these theories and models applied to our country, there will appear something unreasonable more or less, especially for the estimation to our government bond interest rate term structure. So in this paper, we apply bootstrap method、spline function method and Nelson-Siegel-Svenson model to estimate the government bond interest rate term structure, and compare the effect of the three models. Based on the situation of our country, the paper compares the term structure of Shanghai Security Exchange Market and inter-bank market.In this paper, on basis of the existing theory on dynamic models of term structure, a nonparametric interest rate term structure model is set up. The nonparametric model overcomes the weakness of traditional parametric model, which presumes the probability distribution of interest rates and the form of parameters. Taking the government bond repurchasing interest rate in security exchange market as samples, the paper carries on the empirical test on the nonparametric model, and compares the result of the nonparametric model and parametric model.The paper compares the term structure of government bond interest rate between China and United States to find out the problems existing in our government bond market. The paper discusses the thinking and direction to consummate the government bond market and term structure of interest rate.The main findings and conclusions of this paper are followings:The empirical study finds that the government bond interest rate term structure in our country has the character of market economyComparative study in this paper shows that there is an obvious difference in the government bond interest rate term structure between security exchange market and inter-bank market.The paper finds that there are lots of disadvantages in China’s government bond interest rates term structure compared to the term structure in the United States.According to the data in our government bond market, the paper concludes that the nonparametric model established in this paper can describe China’s government bond interest rates term structure in a more accurate way than the traditional parametric models.更多还原