动态Nelson-Siegel模型与无套利约束相容吗?——来自中债国债收益率曲线的经验证据  

Is Dynamic Nelson-Siegel Model Compatible with Arbitrage Free--Empirical Evidence from China Treasury Yield Curves

作　　者：孔继红[1] 岳伟 KONG Ji-hong;YUE Wei(School of Business,Nanjing Normal University,Nanjing 210023,China;School of Business,Macao University of Science and Technology,Macao 999078,China)

机构地区：[1]南京师范大学商学院,江苏南京210023 [2]澳门科技大学商学院,澳门999078

出　　处：《中国管理科学》2020年第4期61-72,共12页Chinese Journal of Management Science

基　　金：国家自然科学基金资助项目(71472091)。

摘　　要：实践上成功的动态Nelson-Siegel利率期限结构模型,存在不能排除无套利机会的理论缺陷,而符合金融理论的无套利仿射模型却在实证绩效上表现不足。通过对两个模型的估计和比较,本文旨在检验动态Nelson-Siegel模型能否在中国国债市场产生与无套利约束相容的收益率曲线。采用中债即期收益率数据的实证研究显示,中国国债市场存在显著的时变性风险价格,确认了期限溢价的存在,但无套利约束并未明显地改善预测绩效。此外,利用模拟收益率数据的检验发现,无套利模型下的载荷参数估计量,在统计上显著不同于来自于动态Nelson-Siegel模型的载荷,即无证据表明中国国债市场的动态Nelson-Siegel收益率曲线与无套利性是相容的。The Dynamic Nelson-Siegel term structure model(DNS)of bond yields,which has good empirical performance,has the theoretical flaws that cannot exclude arbitrage opportunities.However,the No-Arbitrage Affine Term Structure model(NA_ATSM),which compatible with the financial theory with no-arbitrage constraint,does not perform well in the empirical application.Therefore,the comparison and combination of the two kinds of models are the goals of many literatures.In this paper,the DNS model and the NA_ATSM model are estimated and compared to explore the characteristics of the yield curves in China treasury bond market.Furthermore,the yield curve latent factors generated by the DNS model is used to estimate the NA_ATSM model and further to test whether they were compatible with the no-arbitrage constraint.The end-of-month yields of China treasury bond market from March 2006 to December 2017 with 142 sample months are used,consisting of 10 maturities of 1,3,6,9,12,24,36,60,84 and 120 months from Wind Financial Database which are derived with Hermite interpolation method from three different market segments,such as the interbank market,stock exchange market and over the counter market.The most active market is the interbank bond market,which provides transaction of bonds for commercial banks,securities companies and other institutions.In the empirical analysis,the DNS model of the term structure is estimated,and then the NA_ATSM model is estimated by using the factors extracted from the DNS model as exogenous factors.It is concluded that there is the time-varying risk price of risk,which confirms the existence of term premia in China Treasury bond market.However,it is also found that there is no significant difference between the two models in fitting performance,and there is no evidence that no-arbitrage constraint can help to improve the forecast performance.Second,given the assumption of independent normality of the cross-section equations of yields and the assumption of joint normality of state vectors,a number of artif

关 键 词：动态Nelson-Siegel模型 无套利约束 仿射期限结构模型 中债国债收益率 

分 类 号：F830.9[经济管理—金融学]