考虑流动性的我国国债价格预测研究  

Research on the Liquidity Influences Forecasting Performance of China's Treasury Bonds

作　　者：田成诗[1] 魏来[1] 

机构地区：[1]东北财经大学统计学院,辽宁大连116025

出　　处：《数学的实践与认识》2015年第21期41-49,共9页Mathematics in Practice and Theory

基　　金：国家社科基金重大项目(14ZDB130)

摘　　要：随着金融改革的深化和利率市场化脚步的加快,我国的国债交易和国债市场已经得到了高速发展和充分成长.但在国债利率期限结构的研究方面还不够充分,仍有进一步完善的空间,在利率期限结构研究中考虑流动性的影响就是其中之一.从利率期限结构估计入手,将流动性以权重形式加入NSS模型,估计参数并预测国债价格.研究结果表明,加入流动性权重后,利率期限结构的预测性能显著提高,而且随着步长加大,效果更明显.With the deepening of the financial reform and speeding up the pace of market- oriented interest rate, Treasury bill trading and markets in China have been highly developed and fully grown. However, the research of the term structure of the Treasury bill market in China it still needed to be perfected and improved, such as incorporating the liquidity into term structure of the government bonds. Empirical researches show that the incorporation of liquidity improves forecasting performance significantly and provides a justification for its implementation, and the longer the forecasting window is the more pronounced these effects become.

关 键 词：利率期限结构 NSS模型 流动性 预测 

分 类 号：F812.5[经济管理—财政学]