我国国债利率期限结构研究

A Study on Term Structure of Interest Rate of National Debt in China

本文简单地阐述了传统的利率期限结构理论,通过连续复利的方式获得了我国国债的到期收益率。在此基础上,构造了国债收益率曲线并通过建模获得了收益率曲线的回归方程。同时,根据我国国债利率期限结构的形状和特点,用传统的利率期限结构理论对其进行理论说明,并指出国债产品设计与定价上的问题与改进建议。

This paper simply illustrates traditional theory of term structure of interest rate, and obtains the yield to maturity of our country＇ s national debt through the method of continuous compounding. On this basis, the authors construct yield to maturity curve and obtain regression equation of the curve through establishing a model. Meanwhile, in the light of the shape and features of term structure of interest rate of China＇s national debt, the authors illustrate it with traditional theory of term structure of interest rate, put forth the suggestion of designing and pricing of the national debt.