基于NS模型的中国外汇储备投资静态期限结构研究  

On static term structure of China’s foreign exchange reserve investment based on NS model

作　　者：陈珂[1] 李芸琪 CHEN Ke;LI Yun-qi(School of Finance and Statistics, Hunan University, Changsha 410012, China)

机构地区：[1]湖南大学金融与统计学院,长沙410012

出　　处：《沈阳工业大学学报（社会科学版）》2020年第4期297-303,共7页Journal of Shenyang University of Technology(Social Sciences)

基　　金：湖南省自然科学基金面上项目(2020JJ4223)。

摘　　要：以2007—2015年美国、欧洲、日本不同期限国债数据为样本,运用Nelson-Siegel模型(NS模型)进行静态利率期限结构实证分析,并以美国国债为例分析我国外汇储备投资期限结构的优化策略。研究表明:2007年,我国应增加短期美国国债持有比例;2008年,应继续增加短期并降低长期美国国债的持有比例;2010年起,应减持短期、增持长期美国国债;2013—2015年,应增持短期美国国债和通货膨胀保护国债(TIPS)、抛售存续期较长的美国国债,并加大对不动产、股票、企业债券的投资力度,以降低美国国债占比。The data of treasury bonds of different maturity in USA,Europe and Japan from 2007 to 2015 are selected as samples.Empirical study on term structure of static interest rate is conducted by applying Nelson-Siegel model(NS model).And the optimization strategy of term structure of China’s foreign exchange reserve investment is analyzedby taking USA treasury securities as example.The result shows that:China should increase the proportion of short-term USA treasury securities in 2007,and keep increasing the proportion of short-term USA treasury securities and reducing the long-term ones in 2008.From 2010,the proportion of short-term USA treasury securities should be reduced and the long-term ones should be increased.From 2013 to 2015,the holdings of short-term USA treasury securities and treasury inflation-protected securities(TIPS)should be increased,while the treasury securities with long remaining period should be sold,and the investment in real estate,stocksand corporate bonds should be enhanced,in order to reduce the proportion of USA treasury securities.

关 键 词：外汇储备投资 利率期限结构 静态期限结构 NELSON-SIEGEL模型 国债 

分 类 号：F831[经济管理—金融学]