国债利率期限结构模型动态建模实证研究  

An Empirical Research on Dynamic Modeling for Term Structure Model of Bond Interest Rate

作　　者：曾黎[1] 

机构地区：[1]红河学院数学学院,云南蒙自661100

出　　处：《中国西部科技》2011年第31期16-17,10,共3页Science and Technology of West China

基　　金：红河学院博士;硕士科研启动项目(XJ1S0923)

摘　　要：本文通过对利率稳定的2004年11月至2006年7月和利率调整频繁的2006年9月至2010年12月这两段时期上海证券交易所国债的交易数据,运用Vasicek和Nelson-Siegel-Svensson利率期限结构模型进行了国债定价的实证分析。结果表明,这两种模型在利率没有变化时期对国债收益率曲线的拟合效果都好于利率调整频繁的时期。Nelson-Siegel-Svensson模型在利率稳定时期对国债的定价比Vasicek模型准确,而在利率调整频繁时期则应该使用Vasicek模型对国债进行定价。This paper used Vasicek and Nelson-Siegel-Svensson interest rate term structure model to compare me bonas pricing in Shanghai Stock Exchange from November 2004 to July 2006,during which the interest rate almost no adjustment,and from September 2006 to December 2010,during which the interest rate adjusted frequently.The result suggested that both models performed better during the time of no rate adjustment than that of rate adjusting frequently.In bond pricing,Nelson-Siegel-Svensson model for interest rates is more accurate than Vasicek model during the time of no adjustment While during the time of interest rate adjusted frequently,the Vasicek model is better.

关 键 词：即期利率 利率期限结构 国债定价 

分 类 号：F812.5[经济管理—财政学]