中国国债收益率曲线分析与预测

Analysis and Forecast of Chinas Government Bond Yield

本文提出了国债收益率曲线分解与预测的方法。我们认为期望利率变化、债券风险溢价和凸性偏差是影响收益率曲线的三个重要因素。结合理论分解模型,我们提出两种方法对国债的收益率进行分解,并给出了分解的结果。实证分析表明:在三个影响因素中,债券的风险溢价对国债收益率曲线的影响最为关键,凸性偏差的影响较小且相对平稳;不同的时期,期望利率对收益率曲线的影响方向并不相同,其影响的正负与金融市场的周期性有关。基于上述研究结论,我们提出回报率预测五步法,构建了债券投资组合回报的分析方法。

This paper proposes a method for decomposing and predicting the yield of the government bonds.We think that the expected interest rate change,the bond risk premium and the convexity bias are three main factors affecting the yield curve.Combined with the theoretical decomposition model,we suggest two methods to decompose the yield of the bond and give the decomposition results.The empirical analysis shows that among the three influencing factors,the impact of the risk premium is the most critical.The influence of convex bias is small and stable relatively.In different periods,the expected interest rate change has different influence on the yield curve,whether the effect of the impact is positive or negative is related to the periodicity of the financial market.Finally,we propose a five-step method of return forecast,and construct an analysis and evaluation framework for the bond portfolio returns.