基于模糊回归技术的交易所国债利率期限结构研究

A Study of Term Structure of Interest Rates of Shanghai Security Exchange with Fuzzy Regression

介绍模糊利率期限结构模型,并采用该方法对中国交易所国债市场利率期限结构的预期作用进行实 证分析,结果显示中国交易所国债市场模糊利率期限结构还是能够反映利率变化的。通过与西班牙国债市场 模糊利率期限结构的比较,发现短期国债的数量和国债付息频率可能是造成两者模糊利率期限结构形状不 同的原因,并使用实验的方法进行了验证,结果表明增加短期国债的数量和改变国债的付息频率有助于增加 中国交易所国债市场利率期限结构的信息含量。

A new method in estimating term structure of interest rates, which is called fuzzy term structure of interest rate, is introduced in this paper. It is applied to test the anticipation role of China's term structure of interest rates. The result shows China's fuzzy term structure of interest rate is effective to some extent. Compared with Spain's fuzzy term structure of interest rates, it is shown that quantities of T-Bills and forms of paying coupon are the reasons that make them different. The following empirical results demonstrate increasing T-Bills and changing coupon frequency can improve China's fuzzy term structure of interest rates.