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随着金融改革的深化和利率市场化脚步的加快,我国的国债交易和国债市场已经得到了高速发展和充分成长.但在国债利率期限结构的研究方面还不够充分,仍有进一步完善的空间,在利率期限结构研究中考虑流动性的影响就是其中之一.从利率期限结构估计入手,将流动性以权重形式加入NSS模型,估计参数并预测国债价格.研究结果表明,加入流动性权重后,利率期限结构的预测性能显著提高,而且随着步长加大,效果更明显.
With the deepening of financial reform and the quickening pace of marketization of interest rates, treasury bonds and treasury bonds in China have been rapidly developed and fully grown, but the research on the term structure of the interest rate of treasury bonds is still inadequate and there is still room for further improvement. One of them is to consider the influence of liquidity in the study of term structure of interest rate.From the estimation of term structure of interest rate, we add the liquidity into the NSS model by weight, estimate the parameters and forecast the national debt price.The result shows that after adding the liquidity weight, The predictive performance of the term structure of interest rates is significantly improved, and as the step size increases, the effect is more pronounced.