沪市国债收益率曲线的拟合分析

Demonstration in the Treasury Bonds Yield Curve on Shanghai Exchange

本文选取上海证券交易所在2002年、2003年、2004年及2005年底有交易记录的12只国债作为研究对象,对我国国债的收益率曲线进行了拟合估计。根据本实证研究结果,我国国债市场与央行的基准利率并未形成统一的市场,国债收益率还不能作为国家的基准利率。

Treasury bonds are the body and core of Chinese bond market currently. There is great sense in the study on treasury bonds curve and periodic structure. This paper makes demonstration research in the treasury bonds yield curve on Shanghai Exchange basing on the data of 12 government bonds in the end of 2002,2003,2004 and 2005. According to the study,there is no complete market yield curve in China.