国债风险溢价预测模型在债券投资中的应用

Term Risk Premium in Government Bonds: Forecasting Model and Application

本文以利率期限结构信息为解释变量,对中期国债的风险溢价建立预测模型。回归结果显示,利率期限结构的斜率因子和曲度因子对中期国债的月度风险溢价具有显著的预测能力。利用该预测模型建立的模拟债券组合,与市场指数及债券型基金相比,取得了较好的业绩表现。

This paper presents a regression approach to test interest rate term structure as the predicting variable of risk premium in medium-term government bonds. The result shows that the ＂slope＂ factors and ＂curvature＂ factors, describing the movement of yield curve, have significant forecasting power for future risk premium of government bonds. The investment strategy based on this forecasting model achieved better performance compared with the market index and bond funds.