我国国债利率期限结构的静态实证分析  

Static and demonstrated analysis on term structure of national bonds profit rate in our country

作　　者：宋巍[1] 王秀云[1] 

机构地区：[1]沈阳工程学院技术经济系,沈阳110136

出　　处：《沈阳工程学院学报（社会科学版）》2009年第1期57-60,共4页Journal of Shenyang Institute of Engineering:Social Science

摘　　要：依据上海证券交易所的国债数据,通过采用回归分析方法对我国国债利率期限结构进行静态实证分析,结果表明:三次多项式曲线较好地拟合我国国债收益率曲线,收益率曲线呈向上倾斜,符合纯预期理论和流动性偏好理论,长期国债收益率高于短期国债,这与纯预期理论相符合。我国目前上市国债的期限结构明显不是很合理,短期国债发行量和发行规模较小,超长期的品种还很少,而中长期债券占的比重较大,期限结构并不健全。Aiming at the national bonds data of Shanghai Stock Exchange, makes the static and demonstrated analysis for term structure of national bonds profit rate in our country with regression analysis, results show ： cubic polynomial curve suits better for yield rate curve of national bonds in our country, yield rate curve is up sloping, which accords with the pure expectation theory and liquidity preference theory. The yield rate of long - term national bonds is higher than short - term national bonds, which accords with the pure expectation theory. At present, the term structure of listed national bonds in our country is not reasonable obviously, the circulation and scale of short -term national bonds are little, and exceeding long - term national bonds is still least, whereas, the proportion of medium - to - long term bonds is high, term structure is not sound.

关 键 词：国债 国债收益率 利率期限结构 

分 类 号：F812.5[经济管理—财政学]