我国国债收益率曲线变动模式及组合投资策略研究  

On the Variation Model of Zero Coupon Yield Curve and Portfolio Investment in China

作　　者：唐革榕 朱峰[1] 

机构地区：[1]厦门大学经济学院,福建省厦门361005

出　　处：《金融研究》2003年第11期64-72,共9页Journal of Financial Research

摘　　要：本文应用主成分分析方法研究国债收益率曲线变动模式的影响因素,发现水平因素、倾斜因素和曲率因素可以分别解释收益率曲线变化的41.67％、32.29％和16.88％,总体累计解释能力达到90％以上,说明使用三因子利率动态模型基本上能刻画出国债收益率变动的动力机制。主成分分析为包含平行风险和非平行风险在内的债券套期保值提供了新思路,通过组合资产的主成分敏感度的适当安排,可使组合收益不再对导致收益率曲线波动的各个风险源敏感,在国内债券市场实施主成分套期保值要注意具体的市场特征。By using principal component analysis method to study the factors governing the variation feature of zero coupon yield curve in China, We find that level factor, slope factor and curvature factor account for the variation of yield curve by 41.67% , 32.29% and 16.88% respectively with the total capacity up to more than 90% . This result shows that three - factor dynamic model could well describe the moving process of interest rate in China. Principal component analysis on yield curve shed light on the bond immunization strategies against parallel and non - parallel risk of interest rate. By proper arrangement of principal component sensitivity of portfolio assets we could make portfolio return immune from different risk sources initiating yield curve movement. The local feature of Chinese bond market should be taken into account when we implement such strategies.

关 键 词：收益率曲线 主成分分析 利率风险免疫 

分 类 号：F810.5[经济管理—财政学]