上交所国债市场利率期限结构及其信息价值

首先利用Nelson Siegel参数估计模型求出上交所债券市场债券价格隐含的利率期限结构,发现债券市场隐含的利率期限结构呈现两种典型形状:1996年前为逆向的利率期限结构,1996年后为上升的利率期限结构,然后实证检验了预期假设对上交所国债市场的解释能力,发现预期假设不成立,利率期限结构对以预测债券的回报率,最后实证发现,充分利用利率期限结构信息,债券回报率的可预测性可达50%以上。

Interest Rate Term-structure and Its Information Value for Predicting T-bonds Returns in the SSE

First,the Nelson-Siegel model is used to obtain the implied term-structure of T-bonds traded in the Shanghai Stock Exchange.Two typical curves are observed:inverted yield curves before 1996,and rising yield curves after 1996.The expectation hypothesis is tested in the SSE with Fama-Bliss regression,and it is found that the expectation hypothesis does not hold,and forward rates can be used to forecast the bond returns.Finally the predictability of bond returns with whole term-structure is strongly supported by evidence in the SSE.