国债价格行为的布朗桥运动模型与久期方法比较

Brown Motion and Duration Method in Government Bonds' Price Behavior

论文以1998年至1999年期间上海证券交易所上市的国债为对象,在国内首次采用布朗桥运动模型分析了国债价格的波动特征,并进一步用久期方法分析了当前货币政策下的债券利率风险特征。研究表明剩余期限、持有时间是影响债券风险的重要因素,债券风险与债券初期价格和到期价格无关,在布朗桥模型中采用波动幅度作为风险指标要优于方差。

Brown Bridge model and Macaulay Duration model are adopted to study the risk characters of Chinese government bondsWe find that maturity and holding period are two important factors that influence bond risk,but bond price doesn'tIn Brown Bridge model fluctuation ratio fits well than variance as an indicator of risk