我国利率期限结构的参数估计

利率期限结构是在某个时点上不同期限的利率所组成的一条利率曲线。它可以表示为在某个时点不同期限的零息债券得到其收益率所组成的一天收益率曲线。利率期限结构是债券市场中最为重要的概念之一,体现了利率与剩余期限之间的关系。从横截面的角度看,利率期限结构可以用一条无风险债券的收益率曲线表示。当前市场上构建收益率曲线用的是到期收益率,而到期收益率编制的曲线只能得到收益率曲线的一个大致近似,即期收益率才是收益率曲线的精确反映。然而即期收益率并不能直接从市场上观察,因此只有通过拟合估计才能得到。即以市场上附息债券的价格为基础,利用曲线拟合技术来估计国债的即期收益率曲线。利率期限结构的估计方法有很多,较常用的主要有息票剥离(Bootstrap method)、样条估计(Spline approximation,如多项式样条、指数样条、B-样条等)和Nelsen-Siegel方法(包括改进的Nelsen-Siegel-Svennson方法等)。息票剥离法就是将息票从债券中剥离,并在此基础上估计无息票债券的利率水平。息票剥离方法由于是不断地进行但变量求解,因此它的计算误差相对较小,计算也相对简单。但是由于假定线性关系,因此对利率随...     

中国市场利率期限结构的静态估计

利率期限结构是资产定价、金融产品设计、保值和风险管理、套利以及投资等的基础。因此 ,对利率期限结构的估计是金融工程领域一个十分基础的工作。本文则是在这方面进行的一个尝试性研究工作。对利率期限结构的估计可以有许多方法 ,其中包括息票剥离法(bootstrapmethod)和样条估计法(splineapproximation)。本文则同时利用这两种方法对中国2001-2002的利率期限结构进行一个静态的估计 ,比较两种估计方法的静态估计结果并在此基础上分析中国利率期限结构的变化特征     

三次多项式样条函数在国债利率期限结构研究中的应用

利率期限结构一直是金融学领域的一个研究重点。本文同时利用三次多项式样条函数和三次多项式函数构造出隐含在上交所和深交所国债价格中的利率期限结构,并通过与三次多项式函数的比较,对三次多项式样条函数构造利率期限结构的能力做出评价,得出这样的结论:三次多项式样条函数在构造利率期限结构时虽然是一种贴近原始数据,比较精确的方法,但是它存在着过度拟合数据的可能性,因此使用时应该仔细斟酌,把握好拟合尺度。     

利率期限结构的静态比较研究

利率期限结构一直以来是金融领域的研究热点。随着利率市场化进程的不断加快,寻找到一种具有市场代表性的基准利率,从而为固定收益产品的定价提供基础。本文采用NSS模型和多项式样条模型对我国上交所国债的交易数据进行了拟合分析,通过对两种模型的分析比较,选择合适的方法对国债利率期限结构进行拟合。     

基于支持向量机的利率期限结构实证分析

利率期限结构一直是量化研究领域的重点课题,目前国内关于利率期限结构拟合的研究较多,而对利率期限结构的预测则研究较少,关于利用支持向量机的方法预测利率期限结构的研究更是屈指可数,本文利用支持向量机对国债的即期利率进行了拟合和预测,并与普通的时间序列线性模型对比,发现支持向量机的拟合和预测效果均好于自回归模型。     

基于Nelson-Seigel、Svensson、VRP模型的中国国债利率期限结构构建

本文着眼于国债利率曲线的理论模型构造和具体实现,通过编程实现了债券利率模型中经典的Nelson-Siegel、Svensson模型以及现阶段国外大型金融机构广泛采用的VRP模型,针对万德数据库给出的债券价格,通过处理后输入模型得到即期利率曲线和远期利率模型,并通过事后筛选过程剔除异常样本进行调整,得到精确的国债利率曲线。从拟合程度和曲线的光滑性、稳定性、灵活性对三种模型进行了分析,认为VRP模型对国债利率期限结构拟合是最合适的,选用VRP模型。     

基于多项式样条函数的我国零息票收益率曲线构造

零息票收益率曲线是利率期限结构理论分析的基础,在金融估价和风险管理中发挥着重要作用。提出基于多项式样条函数构造零息票收益率曲线的过程及改进方法:考虑国债采样日位于付息日之间、年付息次数可变的情形,使分析更具一般性;针对多项式样条函数拟合时回归系数不显著的问题,采取剔除不显著变量的方法进行改进;讨论比较了两种样条值确定方法在我国的适用性,并研究了模型的稳定性。选取上交所国债进行的实证研究表明,在现阶段我国国债样本数据较少、结构不甚合理的情况下,采用剔除不显著变量的三段三次样条函数可以较好地构造我国的零息票收益率曲线。     

基于Nelson-Seigel、Svensson、VRP模型的中国国债利率期限结构构建

本文着眼于国债利率曲线的理论模型构造和具体实现,通过编程实现了债券利率模型中经典的Nelson-Siegel、Svensson模型以及现阶段国外大型金融机构广泛采用的VRP模型,针对万德数据库给出的债券价格,通过处理后输入模型得到即期利率曲线和远期利率模型,并通过事后筛选过程剔除异常样本进行调整,得到精确的国债利率曲线.从拟合程度和曲线的光滑性、稳定性、灵活性对三种模型进行了分析,认为VRP模型对国债利率期限结构拟合是最合适的,选用VRP模型.     

基于Nelson-Siegel模型的中国利率期限结构实证研究

采用上海证券交易所2014年11月28日国债数据,选择Nelson-Siegel模型对收益率曲线进行拟合。在当前利率市场化背景下,中国利率期限结构整体上符合预期理论和流动性偏好理论,收益率曲线呈现向右上方倾斜的形状,中长期利率高于短期。但在超过15年的较长期限的利率出现下降趋势,长短期利率利差较小,增加幅度逐渐变小,这与中国利率体系尚未完全市场化有关。因此,中国应完善国债期限结构,降低市场分割,建立以国债利率为基准的利率体系。     

公开市场操作与利率期限结构行为——基于混频数据信息的研究视角

在混频数据信息环境中,精准识别公开市场操作(央行政策利率)和国债收益率曲线(基准利率体系)之间的关联机制至关重要,其影响了货币政策期限结构传导的有效性。本文在混频Nelson-Siegel(N-S)利率期限结构模型框架下,引入央行政策利率,揭示公开市场操作与利率期限结构(水平、斜率、曲度)因子之间的作用机制。实证结果表明:混频数据信息条件下,引入的公开市场操作信息显著改进国债收益率曲线的拟合效果;斜率因子冲击对公开市场操作具有显著的正向影响,而利率期限结构因子对政策调控的反应不敏感。进一步研究表明,2015年以来,公开市场操作对斜率因子的影响逐渐扩大,政策利率向国债收益率曲线的传导效率得到显著提高,我国现代货币政策框架日益健全。     

Fitting the term structure of interest rates for Taiwanese government bonds

The term structure of interest rates provides a basis for pricing fixed-income securities and interest rate derivative securities as well as other capital assets. Unfortunately, the term structure is not always directly observable because most of the substitutes for default-free bonds are not pure discount bonds. We use curve fitting techniques with the observed government coupon bond prices to estimate the term structure. In this paper, the B-spline approximation is used to estimate the Taiwanese Government Bond (TGB) term structure. We apply the B-spline functions to approximate the discount function, spot yield curve, and forward yield curve respectively. Among the three approaches, the discount fitting approach and the spot fitting approach are reasonable and reliable, but the spot fitting approach achieves the most suitable fit. Using this methodology, we can investigate term structure fitting problems, identify coupon effects, and analyze factors which drive term structure fluctuations in the TGB market.     

人口学特征与利率期限结构:老年社会平缓的收益率曲线

本文将刻画人口结构的生命周期模型引入消费-资本资产定价模型,考察人口结构对利率期限结构的影响。模型表明,人口结构及其家庭生命周期特征不仅决定利率水平,而且将通过人对债券期限的不同偏好,影响利率期限结构。少年人口占比对利率期限结构的影响为正,中年和老年人口占比的影响为负。相比少年人口,中老年人口更偏好长期债券,使长期收益率下降,期限结构的斜率更为平缓。基于全球数据的经验研究验证了这一结论。少年人口占比增加期限利差,中老年人口占比则起反向作用。因此,在年长的经济体中,期限利差更小,呈现更平缓的收益率曲线特征。在更换人口结构变量、期限利差变量、估计方法、赋权样本和处理遗漏变量后,结果表现稳健。本文从人口学视角拓宽了利率期限结构的决定因素,揭示了老年经济体可能面临一个平缓的收益率曲线,而这说明老龄化还可能通过抑制短期投机和促进长期投资来提高长期经济发展质量。     

Estimation for factor models of term structure of interest rates with jumps: the case of the Taiwanese government bond market

This paper examines the Ornstein–Uhlenbeck (O–U) process used by Vasicek, J. Financial Econ. 5 (1977) 177, and a jump-diffusion process used by Baz and Das, J. Fixed Income (Jnue, 1996) 78, for the Taiwanese Government Bond (TGB) term structure of interest rates. We first obtain the TGB term structures by applying the B-spline approximation, and then use the estimated interest rates to estimate parameters for the one-factor and two-factor Vasicek and jump-diffusion models. The results show that both the one-factor and two-factor Vasicek and jump-diffusion models are statistically significant, with the two-factor models fitting better. For two-factor models, compared with the second factor, the first factor exhibits characteristics of stronger mean reversion, higher volatility, and more frequent and significant jumps in the case of the jump-diffusion process. This is because the first factor is more associated with short-term interest rates, and the second factor is associated with both short-term and long-term interest rates. The jump-diffusion model, which can incorporate jump risks, provides more insight in explaining the term structure as well as the pricing of interest rate derivatives.     

The Term Structure of Real Rates and Expected Inflation

Changes in nominal interest rates must be due to either movements in real interest rates, expected inflation, or the inflation risk premium. We develop a term structure model with regime switches, time‐varying prices of risk, and inflation to identify these components of the nominal yield curve. We find that the unconditional real rate curve in the United States is fairly flat around 1.3%. In one real rate regime, the real term structure is steeply downward sloping. An inflation risk premium that increases with maturity fully accounts for the generally upward sloping nominal term structure.     

Information in the U.S. Treasury Term Structure of Interest Rates

We provide evidence of a significant change in the information content of the U.S. Treasury term structure of interest rates over the last 20 years. We apply a regression approach to measure the information in forward interest rates and introduce both a curve fitting method and an alternative data source. We find more information in the recent U.S. Treasury term structure about future interest rates than about expected holding period returns. These results document a significant departure from prior empirical findings.     

The interest rate effects of government bond purchases away from the lower bound

I analyze the recent experience of unconventional monetary policy in Sweden to study the interest rate transmission mechanisms of government bond purchases when interest rates are away from the lower bound. Using dynamic term structure models and event study regressions I find that government bond purchases have important portfolio balance and signaling effects. The signaling channel operates mainly by lowering short-rate expectations in the intermediate segment of the yield curve, while the portfolio balance channel is effective in lowering longer maturity term premia. In addition, I find that target interest rate policy and government bond purchases operate in different segments of the yield curve. This suggests that a combination of the two policies can be used to lower interest rates across the whole maturity spectrum, making monetary policy more expansionary.     

A Two-Factor Model for Low Interest Rate Regimes

This paper derives a two-factor model for the term structure of interest rates that segments the yield curve in a natural way. The first factor involves modelling a non-negative short rate process that primarily determines the early part of the yield curve and is obtained as a truncated Gaussian short rate. The second factor mainly influences the later part of the yield curve via the market index. The market index proxies the growth optimal portfolio (GOP) and is modelled as a squared Bessel process of dimension four. Although this setup can be applied to any interest rate environment, this study focuses on the difficult but important case where the short rate stays close to zero for a prolonged period of time. For the proposed model, an equivalent risk neutral martingale measure is neither possible nor required. Hence we use the benchmark approach where the GOP is chosen as numeraire. Fair derivative prices are then calculated via conditional expectations under the real world probability measure. Using this methodology we derive pricing functions for zero coupon bonds and options on zero coupon bonds. The proposed model naturally generates yield curve shapes commonly observed in the market. More importantly, the model replicates the key features of the interest rate cap market for economies with low interest rate regimes. In particular, the implied volatility term structure displays a consistent downward slope from extremely high levels of volatility together with a distinct negative skew. 1991 Mathematics Subject Classification: primary 90A12; secondary 60G30; 62P20 JEL Classification: G10, G13     

Multi-Factor Cox-Ingersoll-Ross Models of the Term Structure: Estimates and Tests from a Kalman Filter Model

This paper presents a method for estimating multi-factor versions of the Cox-Ingersoll-Ross (1985b) model of the term structure of interest rates. The fixed parameters in one, two, and three factor models are estimated by applying an approximate maximum likelihood estimator in a state-space model using data for the U.S. treasury market. A nonlinear Kalman filter is used to estimate the unobservable factors. Multi-factor models are necessary to characterize the changing shape of the yield curve over time, and the statistical tests support the case for two and three factor models. A three factor model would be able to incorporate random variation in short term interest rates, long term rates, and interest rate volatility.