交易所国债利率期限结构实证研究

Empirical Study of Treasury Bonds Term Structure in Bourse

利率期限结构是国外金融界长期的热门研究。随着中国债券市场的发展以及利率市场化的改革,形成有市场代表性的基准利率是关键所在。研究国债的利率期限结构,为资金市场提供具有普遍参考价值的利率,从而为市场上的各种利率产品进行定价以及进行风险管理,是当前的重要研究课题。而国内对这方面的研究还不是很多,因此本文希望根据国外成熟的模型和方法对此进行研究。本文先通过对两种模型的分析比较,选择了合适的方法对国债利率期限结构进行拟合。在此基础之上,对利率的变动进行主成分分析,研究利率曲线的主要变动形式,为利率风险管理提供参考。

As the China's bonds' market develops and the'interest rate becomes determined by market, it's important to form the market's benchmark interest rate. Research of the treasury bond's term structure provide for the capital market the rates which have common referenced value, then investors can price the various rate products and make risk management on the basis of this research. Recently, this research topic is of great importance to many scholars. Now, there are not too many researches about the interest rate term structure in China; this paper hopes to make some researches on the basis of the mature models and methods in foreign countries. After comparing two different models, this paper chooses an appropriate method to fit the term structure. On the basis of the term structure, we analyzed the changes of the interest rate by principal component method, and make some researches on the main change forms of the rate curve.