债券利率期限结构的构造方法与实证检验

在分析利率期限结构的多种构造方法的基础上,运用上交所国债数据对其中常用的4种构造模型进行较系统的实证对比检验。结果表明,多项式样条法和B-样条法在价格拟合度方面占有明显优势,而N elson-S iegel模型和Svennson模型构造的利率期限结构规范性较好;B-样条法在利率期限结构的拟合精度、曲线光滑性及平稳性方面的综合效果最好。对上交所债券数据的跟踪计算表明,B-样条法算法稳定可靠,能够准确及时地反映国债利率期限结构的变动特征,推荐作为当前债券利率期限结构的构造方法。

Empirical Comparison of Several Interest Rate Term Structure Models

This paper tests and compares four methods of estimating the term structure from on-the-run Government Bonds in SSE.The results show that Polynomial spline and B-spline fit the bond prices better than Nelson-Siegel and Svensson model,but the latter models are inclined to give much more standard term structure with lower precision of fitting prices.The result also reveals that B-spline model performs better than other models integralively in precision of fitting prices,curve smoothness and stability.Track calculation over total sample period indicates that algorithm of B-splines model is steady and reliable,and it can reveal the systematic change of government bond interest rate term structure accurately and effectively.