中国国债利率期限结构实证研究

An Empirical Research on the Domestic Term Structure of Interest Rates

文章利用三次样条函数构造出上交所和深交所的国债利率期限结构,并通过对两市利率期限结构曲线进行比较与分析,得出这样的结论:中国国债利率期限结构虽然呈现出向右上方倾斜的正常态势,但是还存在着曲线趋于平坦、国债品种单一化等问题。

This article uses Cubic Spline Function to format the Term Curve of Interest Rates of Shanghai Stock Exchange and Shenzhen stock Exchange respectively and draws the conclusion that although the Term Structure of Interest Rates of our country slope to up and right, the curve incline to smooth and the kinds of the bonds is monotonius through comparing and analysing the two Term Structure Curves of Interest Rates.