利率期限结构指数样条模型实证研究

Empirical Research on Term Structure of Interest Rates Model Using Exponential Splines

利率期限结构问题是金融领域的一个基本问题，尤其在中国利率市场化过程中。研究利率期限结构对中国金融市场的发展和完善有着重要的理论和实践意义。利用中国国债市场的数据对指数样条函数模型进行实证研究，并与其他模型进行比较分析。结果表明。指数样条函数模型能较好地降低国债定价误差，并能预测国债市场隐含的起息日为未来无限远时的远期利率，通过图形进一步验证了指数样条法更适合作为中国利率期限结构的拟合方法；利用该模型构建中国国债市场1999年～2006年具有代表意义的6条利率曲线。表明中国短期利率变化幅度大于长期利率变化幅度，中国国债长期即期利率偏低。2000年以后中国国债利率期限结构曲线移动幅度比较小且几乎持平。

Term structure of interest rates is a basic problem in financial field、 Especially in the process of China＇s marketization of interest rates, research on the term structure of interest rates has very important theoretical and practical significance to the development and improvement of China＇s financial market. Empirical research and comparison of exponential splines model with others by using the data of Chinese government bond markets have been made. The results show that the exponential splines model can significantly decrease the errors of government bond pricing, and forecast the limiting value of the forward rates. It further verified that the exponential spfines method is fit for constructing term structure curve of interest rates by the graphics. Finally, by using the model, six pieces of interest rate curves that represent Chinese government bonds market from 1999 to 2006 are structured and the following results have obtained： the change range of short-term interest rates is higher than that of long-term interest rates; China＇s long-term spot interest rates of treasury bonds are low; after the year of 2000, the term structure curves of interest rates of China＇s treasury bonds have shifted little.