基于动态Nelson-Siegel模型对票据利率期限结构的分析

Analysis of the Term Structure of Bill Interest Rates Based on the Dynamic Nelson-Siegel Model

对于商业银行等在票据二级市场开展转贴现交易的金融机构来说,预测票据转贴现利率的期限结构非常重要。通过构建基于状态空间表达的动态Nelson-Siegel模型进行实证分析发现,该动态模型在预测票据市场国股银票转贴现利率的期限结构时效果较好,对于金融机构完善行内票据转贴现交易定价机制具有一定参考意义。

For financial institutions,including commercial banks involved in the secondary market of bill transactions,predicting the term structure of bill transfer discount rates holds significant importance.This paper presents a state-space formulation of the dynamic Nelson-Siegel model for the transfer discount rates of bank acceptance bills,which are accepted by both state-owned and joint-stock banks.Through empirical analysis,it is observed that this dynamic model effectively predicts the term structure of these bill transfer discount rates.These findings are of particular significance for financial institutions seeking to enhance their internal pricing mechanisms forbill transferdiscount rates.