基于余额管理的国债最优发行策略

从2006年开始,我国将实行国债余额管理,这将对国债发行产生重大影响。基于国债余额管理提出了一个国债最优发行模型,以最小化所发行国债组合的期望利率成本。其中,由于假设利率期限结构是V asicek形式的随机过程,应用对利率期限结构的M onte Carlo模拟将原问题转化为线性规划问题。最后,通过我国国债发行的实证研究指出,在国债余额管理方式下,应该加大短期国债的发行规模,同时限制长期国债的发行规模。

Optimal Issuance Strategy of National Debt Based on Balance Management

China will carry balance management of national debt into execution in 2006,which certainly will influence the optimal issuance strategy of national debt.Based on balance management,this paper proposed an optimal issuance model of national debt in order to minimize the expected interest cost of portfolio of national debt.Because the model assumes the term structure of interest rate is a stochastic process with Vasicek mode,the previous problem was translated into the linear programming problem using the Monte Carlo simulation of interest rate.At last,the empirical research of optimal issuance strategies of national debt of China indicates that the Ministry of Finance should increase the issuance amount of short-term national debt and decrease that of long-term national debt under the balance management of national debt.