国债投资的利率风险免疫研究

亚洲金融危机后，我国国债发行和交易利率逐步下降，国债投资收益率也随之下降。但是，目前我国的宏观经济面临新一轮过热的压力，中央银行也面临提高利率的压力，也极大地增加了国债投资的利率风险。本文从利率期限结构承受线性冲击和非线性冲击以及随机利率期限结构条件下，利用免疫理论研究如何防范国债投资的利率风险。

Study on the Immunization of Interest Risk of the Investment in Government Bonds

After the Asian financial crisis, the issuing rate and trading rate of our government bonds fall step by step, and the investing yield of government bonds also falls. But, at present, our macroeconomy faces a new round of overheated growth pressure, the central bank also faces a pressure of lifting rate, and the risk of interest rates is greatly increased. With the term structure of interest rate shoeked by linear movement and nonlinear movement, this article studies how to prevent from the interest risk of government bonds by using immunizing theory; and the article analyses further how to prevent from the interest risk of government bonds in the stochastic term structure of interest rate. Finally, combining the theory with practice of our government bond market, it studies methods of preventing interest risk of government bonds.