债券利率期限结构的构造方法与实证检验  

Empirical Comparison of Several Interest Rate Term Structure Models

作　　者：傅曼丽[1] 屠梅曾[2] 董荣杰[2] 

机构地区：[1]上海投资咨询公司,上海200003 [2]上海交通大学安泰经济与管理学院,上海200052

出　　处：《系统工程理论方法应用》2006年第5期436-440,444,共6页Systems Engineering Theory·Methodology·Applications

摘　　要：在分析利率期限结构的多种构造方法的基础上,运用上交所国债数据对其中常用的4种构造模型进行较系统的实证对比检验。结果表明,多项式样条法和B-样条法在价格拟合度方面占有明显优势,而N elson-S iegel模型和Svennson模型构造的利率期限结构规范性较好;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。对上交所债券数据的跟踪计算表明,B-样条法算法稳定可靠,能够准确及时地反映国债利率期限结构的变动特征,推荐作为当前债券利率期限结构的构造方法。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 model, 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 integralively 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：F830.9[经济管理—金融学]