无套利“双斜率”DNS利率期限结构模型与实证

Interest Rate Term Structure Model and Demonstration of No Arbitrage Double Slope DNS

随着债券市场的发展与利率市场化实质性推进,建立适合我国利率期限结构的模型具有重要意义。目前的DNS模型整体拟合能力较好,但无债券定价理论的支撑,对短期收益率的拟合优度也有待提高。文章在风险中性定价理论框架下构建无套利＂双斜率＂DNS模型,并利用国债收益率数据进行实证分析发现,相对于已有DNS模型,新模型能有效改善对短期收益率的拟合效果。随着样本债券期限的增加,新模型参数估计具有较高的稳定性,且应用性强。

With the continuous development of China＇s bond market and the substantial progress of interest rate marketization, it has important significance to construct a suitable model for home bond market. The currently used DNS model possess good fitting ability, but due to lacks of the support from the bond pricing theory, the fitting precision of the short-term yield data has to be improved. This paper builds a no arbitrage ＂double slope＂ DNS model under the theoretical framework of risk neutral pricing.And then the paper uses bond yield data to perform the empirical analysis and finds that the new model can better improve the fitting effect of short-term rate of return compared with the existing DNS models. With the increase of the sample bonds maturity, the new model＇s parameter estimation maintains high stability, hence strong application.