国债利率期限结构的静态实证分析

利率期限结构分析是资产定价、金融产品设计、保值和风险管理、套利等的基础。随着中国债券市场的发展以及利率市场化改革,研究国债的利率期限结构,为资金市场提供具有普遍参考价值的利率,是当前的重要研究课题。以上海证券市场国债交易数据为基础,运用息票剥离法和样条估计法来分析国内国债利率期限结构,可得出如下结论:收益率曲线呈向上倾斜;国债收益率偏低;利率期限结构符合流动性理论;缺少浮动利率债券。

A Static Empirical Analysis of Term Structure of Bond Interest Rate

Analysis of the term structure of interest rate is the basis of asset pricing,financial product design,hedging and risk management,arbitraging and so on.With the development of Chinese bond market and the market-oriented reform of interest rate,it is necessary and important to study the term structure of bond interest rate so as to provide a universal reference interest rate for capital market.This paper,based on the bond transaction data of Shanghai Stock Exchange,uses bootstrap method and spline approximation to analyze the term structure of domestic bond interest rate and concludes that the yield curve is upward,the bond yield is comparatively low,the term structure of bond interest rate conforms to liquidity theory,and more floating rate bonds are needed.