基于利率成本最小化的国债最优发行策略研究

Study on the Optimal Issuance Strategy of National Debt Based on the Interest Cost Minimization

在新的宏观经济背景下,科学的国债管理策略已经成为稳健财政政策的有效手段之一。本文假设,债务管理人的主要目是寻找最优的国债发行策略,在满足赤字率,国债负担率等约束条件的同时,最小化国债组合的期望利率成本。基于该假设,本文提出了一个随机优化模型,其中利率期限结构是一个Vasicek形式的随机过程。应用对利率期限结构的Monte Carlo模拟,本文将随机优化模型转化为线性规划问题。最后,本文对我国国债的最优发行策略进行了实证研究,比较了赤字管理方式和国债余额管理方式下的不同发行策略。结果指出,在国债余额管理方式下,应该加大短期国债的发行规模,同时限制长期国债的发行规模。

National debt management is now a key strategy of stable finance policy facing new policies of economic. This paper assumes that the main object of debt manager is to find optimal issuance strategy of national debt in order to minimize the expected interest cost of portfolio of national debt while satisfying some constrains such as deficit rate and national debt burden rate. Based on this assumption, this paper proposes a stochastic optimization model, in which the term structure of interest rate follows Vasicek model. The stochastic optimization model can be translated into a linear programming model using the Monte Carlo simulation for interest. At last, this paper dose empirical research for China, and compares the different optimal issuance strategies under the deficit management style and the balance management style. The results indicate that the Ministry of Finance should increase the issuance amount of short-term national debt and decrease that of long-term national debt under the balance management of national debt.