摘要
为了给中国当前的货币政策提供一个准确的依据,在用样条法拟合国债收益率曲线的基础上,用Nelson-Siegel模型拟合了国债收益率曲线,并对原始到期收益率出现的短期收益率高于长期收益率的反向形态以及国家宏观经济政策和微观市场环境的原因使长期收益率高于短期收益率的正向趋势进行了实证分析.通过对模型稳定性进行比较,得出Nelson-Siegel模型比较适用于构造我国国债收益率曲线.
In order to provide a nicety gist for Chinese monetary policy,on the basis of fitting the constitution of national debt yield curve with spline,Nelson-Siegel model is used to fit the national debt yield curve.The authors analyzed the reasons why the yield of short-term national debt is higher than the yield of long-term national debt and how the national macroeconomic policy and the microscopic market environment enable the yield of long-term national debt to be higher than the short-term national debt.A co...
出处
《北京工业大学学报》
EI
CAS
CSCD
北大核心
2009年第4期566-570,576,共6页
Journal of Beijing University of Technology
