国债利率期限结构模型的实证比较  

Empirical Comparison of Several Interest Rate Term Structure Models

作　　者：傅曼丽[1] 董荣杰[1] 屠梅曾[1] 

机构地区：[1]上海交通大学安泰管理学院,上海200052

出　　处：《系统工程》2005年第8期56-61,共6页Systems Engineering

摘　　要：采用上交所国债数据对利率期限结构的4种构造模型进行较系统的横向对比实证。结果表明多项式样条法、B-样条法在价格拟合度方面占有明显优势;而Nelson-Siegel模型和Svennson模型构造的利率期限结构规范性较好,但其价格拟合度牺牲较多,其结果与债券市场隐含的期限结构有一定差异;B-样条法在利率期限结构的拟合精度、曲线光滑性及平稳性方面的综合效果最好。应用B-样条法对整个样本期国债交易数据的跟踪计算结果表明,该模型算法稳定可靠,能够精确有效地追踪国债利率期限结构的系统性变动,最适合作为当前债券利率期限结构的构造模型。This paper tests and compares four methods of estimating the term structure from on-the-run Government Bonds in SSE. The results show that Polynomial spline and B-spline fit the bond prices better than Nelson-Siegel and Svensson models, but the latter models are inclined to give much more standard term structure with lower precision of fitting prices. The result also reveals that B-spline model performs better than other models synthetically in precision of fitting prices, curve smoothness and stability. Track calculation over total sample period indicates that algorithm of B-splines model is steady and reliable, and it can reveal the systematic change of Government bond interest rate term structure accurately and effectively.

关 键 词：利率期限结构 多项式样条 B-样条Nelson—Siegel模型 SVENSSON模型 

分 类 号：F830[经济管理—金融学]