国债收益率曲线构建的国际比较研究--兼论商业银行人民币收益率曲线的构建  

International Comparative Research on the Construction of Treasury Bond Yield Curves——To Establish Commercial Bank's RMB Yield Curves

作　　者：胡新华[1,2] 徐志宏[3] 

机构地区：[1]北京大学博士后流动站 [2]中国工商银行博士后科研工作站 [3]中国工商银行金融市场部

出　　处：《金融论坛》2009年第3期23-29,共7页Finance Forum

基　　金：中国博士后科学基金项目的资助

摘　　要：各国由于债券市场发达程度不尽相同,收益率曲线的构建方法各有特点、各有利弊。大多数国家采用Nelson-Siegel拟合法或其拓展的Svensson拟合法,还有平滑样条方法。由于我国债券市场发展滞后,且利率市场化刚刚起步,还没有形成具有基准意义的国债收益率曲线。商业银行人民币收益率曲线的构建可考虑在以下方面做出突破:一是推出基于现券交易的实时收益率曲线,为债券交易员提供交易参考;二是构建人民币利率互换曲线,为形成商业银行完整的收益率曲线体系提供基础;三是构建随机利率模型,为利率市场化和自主定价做好准备。Different countries use different methods to construct their yield curves due to their different development level in bond markets. Most countries have adopted Nelison-Siegel model or its extension edition, Svensson model, as well as the smoothing spline method. With the lagged development of bond market and lack of market-oriented interest rate in China, the meaningful benchmark yield curve of treasury bonds has not come into being in the RMB market. In the process of establishing RMB yield curves, commercial banks can take the following steps： first, establishing a real-time yield curve based on the spot transaction to provide a reference for bond traders; second, establishing the RMB interest rate swap curve to construct the basis for a complete yield curve system; Finally, setting up stochastic interest rate models to prepare for the market-oriented interest rate and independent pricing capability.

关 键 词：债券 收益率曲线 利率期限结构 曲线拟合 Nelson—Siegel模型 随机利率模型 

分 类 号：F811.5[经济管理—财政学]