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基于动态Nelson-Siegel模型的国债管理策略分析
引用本文:余文龙,王安兴.基于动态Nelson-Siegel模型的国债管理策略分析[J].经济学(季刊),2010(4):1403-1426.
作者姓名:余文龙  王安兴
摘    要:本文研究动态Nelson-Siegel模型在中国国债市场上的定价能力、预测能力和套期保值能力.实证发现动态模型对国债利率的样本内定价效率高,适用于中期债券定价;应用于动态预测未来市场利率,预测效果显著优于其他时间序列模型,超出了传统的无套利均衡模型;采用该模型下的久期向量免疫技术,能为国债组合提供更好的动态套期保值效果.本研究在中国国债组合积极和消极管理策略中具有实用价值.

关 键 词:状态因子  预测  套期保值

An Analysis of Treasury Bond Management Strategies Based on the Dynamic Nelson-Siegel Approach
Yu Wenlong and Wang Anxing.An Analysis of Treasury Bond Management Strategies Based on the Dynamic Nelson-Siegel Approach[J].China Economic Quarterly,2010(4):1403-1426.
Authors:Yu Wenlong and Wang Anxing
Abstract:We apply the dynamic Nelson-Siegel model to study the Chinese treasury bond markets in three contents:Pricing,forecasting and hedging.We find that the Nelson-Siegel model delivers good in-sample fit for the yield curve and outperforms various competing models including no-arbitrage equilibrium in terms of interest rate forecasting.Bond management based on the duration vector immunization technique performs better than the traditional duration convexity.
Keywords:
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