国债利率期限结构模型的分析
首发时间:2012-06-27
摘要:利率期限结构是资产定价、金融产品设计保值和风险管理套利的基础,也是宏观经济的重要指标之一。为了给中国当前的货币政策提供一个准确的依据,本文以中国国债市场的交易数据及统计软件,用样条函数模型和Nelson-Siegel模型分别拟合了国债收益率曲线,分析国债利率期限结构,通过对两种模型拟合结果进行比较,得出Nelson-Siegel模型更有实际意义,更适合我国国债市场。
关键词: 利率期限结构 国债 样条函数模型 Nelson-Siegel模型
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The analysis of bonds term structure of interest rate model
Abstract:The yield curve model is not only the fundamental of pricing assets, hedging and risk management, but also one of the most important indicators of macroeconomics. In order to give China's current monetary policy to provide an accurate basis,the paper used data from China's bond market and statistical software to estimate the parameters of the Spline Function Model, the Nelson-Siegel Model. After comparison, it appears that the Nelson-Siegel Function have better practical meanings and more suitable for our country bonds market.
Keywords: Term structure of interest rate Bonds Spline Function model Nelson-Siegel model
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