交易所利率期限结构估计模型的比较

A Comparison of the Estimation of the Term Structure of Interest Rates of Stock Exchange

结合我国利率体系和利率的形成机制，提出一个适合交易所利率期限结构估计的NS扩展模型，然后采用交易所国债市场的日交易数据，对NS扩展模型、Nelson—Siegel（NS）模型和Svensson（SV）模型进行了样本内、外的比较实证分析。结果表明，NS扩展模型比NS模型和SV模型更适合于交易所的利率期限结构估计，交易所利率期限结构在1～10年期间，尤其是5～7年期间能够获得可靠的估计，在0～1年和10～20年期限期间估计的可靠性不高。

This paper first put forward a NS extension model to estimate the term structure of interest rates of stock exchange, considering the determination mechanism of the interest rates in China, then compared it with Nelson-Siegel （NS） model and Svensson （SV） model using daily Shanghai Stock Exchange government bond data. Insample and out-of-sample statistics reveal that NS extension model is superior to NS model and SV model in estimating Shanghai Stock Exchange term structure of interest rates; the estimation between 1 and 10 years, especially between 5 and 7 years, is credible; the estimation beyond maturities above is doubtful.