基于SV利率期限结构模型的国债价差研究  

A study of bond spreads based on the stochastic volatility model of the term structure of interest rates

作　　者：周荣喜[1] 刘雯宇[1] 牛伟宁[1] 

机构地区：[1]北京化工大学经济管理学院,北京100029

出　　处：《北京化工大学学报（自然科学版）》2011年第3期129-133,共5页Journal of Beijing University of Chemical Technology(Natural Science Edition)

基　　金：国家自然科学基金(70701003);中央高校基本科研业务费专项资金(ZZ1017);北京化工大学学科建设项目(2010096)

摘　　要：利用SV利率期限结构模型,本文选取上海证券交易所和银行间债券市场多个交易日的国债数据,运用遗传算法求解模型参数,得到两个市场的国债收益率曲线。结果表明,使用SV模型拟合出的国债理论价格与实际价格之间误差较小,适用于我国国债市场;在两个市场上相同剩余到期期限的国债收益率之间存在价差,而且价差随着国债的到期期限的增加先变小后变大。可能是由于市场分割、流动性差异和交易机制的不同引起的。By using the stochastic volatility（SV） model of the term structure of interest rates,the yield curves of government bonds can be obtained based on the data from many different trading days in the Shanghai Security Exchange market and China＇s inter-bank bond market by means of genetic algorithms.It has been found empirically that the SV model can accurately describe the spot rate curve,as the differences between the theoretical prices and actual prices are small.Nevertheless,spreads between the yields of government bonds at the same maturity in the two markets not only exist,but also change as the term increases.Probable reasons for the spreads include market segmentation,different liquidities and the trading mechanism.

关 键 词：利率期限结构 SV模型 遗传算法 国债价差 

分 类 号：F830.59[经济管理—金融学]