中国国债利率期限结构Nelson-Siegel族模型实证比较  

Empirical Comparison of term Structure of Interest Rates Based on the Nelson-Siegel Class Models in China

作　　者：任姝仪[1] 杨丰梅[1] 周荣喜[2] 

机构地区：[1]北京化工大学理学院,北京100029 [2]北京化工大学经济管理学院,北京100029

出　　处：《系统工程》2011年第10期30-34,共5页Systems Engineering

基　　金：国家自然科学基金资助项目(70701003);中央高校基本科研业务费专项(ZZ1017ZZ1133);北京化工大学学科建设项目

摘　　要：在NS模型和SV模型基础上,概述利率期限结构Neson-Siegel族模型中的N SM模型、FF模型及SF模型,并给出基于遗传算法的求解过程,最后应用上海证券交易所的国债数据实证比较了此类参数模型的拟合水平与灵活性。结果表明FF模型与SF模型的拟合精度与灵活性均优于其他模型,能够很好地反映中国国债的利率期限结构。On the basis of the NS model and SV model,NSM model,FF model and SF model of the Nelson-Siegel class of term structure models of interest rates are summarized,and parameters estimation procedures based on genetic algorithm are given.Finally,the trading data of government bonds in Shanghai Stock Exchange are applied to compare the five models mentioned above.The empirical results show that the fitting accuracy and flexibility of FF model and SF model are superior to the other Nelson-Siegel class models,and that they are suitable for China＇s bond markets.

关 键 词：利率期限结构 Nelson-Siegel族模型 即期利率 灵活性 

分 类 号：F830[经济管理—金融学]