基于稳健估计的样条函数法对国债利率期限结构的拟合

Fitting term structure of interest rates of treasure bill market with splines based on robust estimation

用样条函数建构我国上市国债利率期限结构,在参数估计中运用基于IGG-Ⅰ方案的稳健估计,以降低税收效应以及其他因素对债券价格的扭曲.提供了“严格挑选”和“最大样本”两种稳健估计方案,并且进行了比较,认为“严格挑选”方案更加适用于构建我国国债利率期限结构.

Exponential splines based on robust estimation under IGCr I function were applied to fit the term structure of interest rate of treasure bills in SSE in order to reduce the effects from the inaccurately priced bonds caused by tax effect or other factors. Two robust estimation methods, ＂strictly selected rule＂ and ＂all-samples-included rule＂, were offered. Comparing the two rules, it was recommended that the ＂strictly selected rule＂ is more appropriate for constructing the term structure of interest rate in the domestic bond market.