| 我国国债利率期限结构的静态实证分析 |
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| 引用本文： | 芮迟. 我国国债利率期限结构的静态实证分析[J]. 铜陵学院学报, 2014, 0(2): 29-32 |
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| 作者姓名： | 芮迟 |
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| 作者单位： | 安徽财经大学,安徽蚌埠233030 |
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| 摘 要： | 选取我国银行间国债某个交易日的数据，比较了三次样条模型、指数样条模型和NSS模型对国债价格的拟合效果，结果发现三次样条模型拟合效果最好；使用三次样条模型构建我国国债收益率曲线，并对其静态特征与形成原因做了分析；静态分析中显示我国国债长短期利差太低，并提出相关的政策建议。
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| 关 键 词： | 利率期限结构 银行间国债市场 静态实证分析 |
A Static Empirical Analysis on Chinese Treasury Bond Term Structure of Interest Rates |
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| Rui Chi. A Static Empirical Analysis on Chinese Treasury Bond Term Structure of Interest Rates[J]. Journal of Tongling College, 2014, 0(2): 29-32 |
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| Authors: | Rui Chi |
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| Affiliation: | Rui Chi (Anhui University of Finance and Economics, Bengbu Anhui 233030,China) |
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| Abstract: | The article selects one day trading data of Chinese inter-bank treasury bond, to compare cubic spline model, exponential spline model and NSS model fitting effect of bond price. The result shows cubic spline model is the best. Use cubic spline model to build Chinese treasury bond yield curve, analyze its static characteristic and cause. Static analysis above shows that： the gap between long and short term interest rate is too low, and relevant policy suggestions is briefly put forward. |
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| Keywords: | term structure of interest rates inter-bank treasury bond market static empirical analysis |
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