资金价格、利率期限结构和国债收益率曲线

1232000301,23500023:CapitalPrice,theTermStructureofInterestRatesandGovernmentBondYieldCurveMINXiao-ping,TIANPeng,WuWei(SchoolofManagement,ShanghaiJiaoTongUniv.,Shanghai200030,China,People'sBankofChinaFuzhouCentralSub-branch,Fuzhou350002,China)AbstractCapitalpricesaredeterminedbythedecisionofthemicroeconomicagentsandmacroeconomicpolicymakers.Thetoolformeasuringcapitalpricesisinterestrate.Thetermstructureofinterestratesisthebenchmarktopricingcapital.Atafixedtime,marketcross-sectiontermstructureisimpliedinthegovernmentbondtrade.Atdifferenttime,cross-sectionfollowsstochasticprocessthatcanbeexplainedbythedynamictermstructuremodels.Nottopriceuniquecashflow,generallygovernmentbondyieldcurveisn’trealtermstructureofinterestrates.Keywords:capitalprice,interestrate,termstructure,[e-mail]2195873197361____________________________________________________________________________________________[1]AnnualPercentRate4AnnualEffectiveRate5110−⎟⎠⎞⎜⎝⎛+=nnrR1Rn0rn=1AnnualizedContinuousCompounding210−=reR2()()()()()dsstdstdsstdastastf,,1,,1,δδ−==3452中国科技论文在线____________________________________________________________________________________________)(ts()stf,ts(sta,)ts()1,=tta(st,)δst()1,=ttδ34()()()∫==−stduutfeststa,1,,δf5()fetta=+1,()(Rtta+=)+11,6256676t11365366⎛⎜⎝⎠⎞⎟73中国科技论文在线____________________________________________________________________________________________[2][3]DiscountFunctionZero-couponYieldCurveInstantaneousForwardRateCurve[4]t(,)BtT(,)()(,)RtTTtBtTe−−=0()ttT≤≤7T0t(,)RtT(),tsδstt(,)Bts(),ttδ=1))8st(,srts(,Rts(,)ftsts(MarginalRateofReturn)t90tt=tDynamicTermStructureModelt1u()(),,tutsδδs(),su()()(),1,,ln,tuftsuustsδδ⎛⎞−=⎜⎟⎜⎟−⎝⎠()0ttsu≤≤≤88SpotRateSpotRatecurve94中国科技论文在线____________________________________________________________________________________________(),su()()()dsstdststf,,1,δδ−=()0tts≤≤9789()()1,,sstrtsftvdvst=−∫1010:()()()()dsstdrtsstrstfss,,,−+=11910t1tt12()1,iKiijjPCtTδ∧==∑ijiiiji12ˆiPijCijTiKˆiiPPε=+13iiPiεi()()()1111ˆˆˆargmin,,,,TNNNNPPPPdiagwPPPPθ−−−−LLˆ145中国科技论文在线____________________________________________________________________________________________()wdiagt()ssttt()sstEquilibriumModelArbitrageModel()tss[5]StateVariableModel[6]()(),,tttdXtXdttXdWµσ=+,t15tXn(),ttXµnP(),ttXσnn×tdWn,Single-FactorModelMulti-FactorModelShort-TermRate10[7][8]16()(),,tttdrtrdttrdWµσ=+t[9][10][11][12][13]10(),srts(),ftt()0tts≤+∞6中国科技论文在线____________________________________________________________________________________________[14][15]()()ln,,,ttdBtTrdttTdWσ∧=+17(,tTσ)ntdW∧Qn1117[16][17[18]][19]GovernmentBondYieldCurveInternalRateofReturn18()11iijKTiijjPCy−==+∑y()()11,ijiTKiijijjPCRtT−==+∑19(,ij)RtTtijTt−1819121112ParBond7中国科技论文在线____________________________________________________________________________________________[20][1][2004]116[2]Sundaresan,S.M.,2002,Fixedincomemarketsandtheirderivatives2ed,South-WesternThomsonLearning,214-226.[3]LinB.H.,2002,FittingtermstructureofinterestratesusingB-splines:thecaseofTaiwanesegovernmentbonds,AppliedFinancialEconomics12,57-75.[4]Jabbour,G.andS.Mansi,2002,Yieldcurvesmoothingmodelsofthetermstructure,JournalofBondTradingandManagement1,206-222.[5]Martellini,L.andP.Priaulet,2001,Fixed-incomesecurities,dynamicmethodsforinterestrateriskpricingandhedging,JohnWiley&Sons,91-173.[6]Duffie,D.andR.Kan,1996,Ayield-factormodelofinterestrates,MathematicalFinance6,379-406.[7]Vasicek,O.A.,1977,Anequilibriumcharacterizationofthetermstructure,JournalFinancialEconomics5,177-188.[8]Cox,J.C.,J.E.IngersollandS.A.Ross,1985,Atheoryofthetermstructureofinterestrates,Econometrica53,385-408.8中国科技论文在线____________________________________________________________________________________________[9]Litterman,R.andJ.Scheinkman,1991,Commonfactorsaffectingbondreturns,JournalofFixedIncome1,54-61.[10]Balduzzi,P.,Das,S.R.,Foresi,S.,Sundaram,R.K.,1996,Asimpleapproachtothreefactoraffinetermstructuremodels,JournalofFixedIncome6,43-53.[11]Chen,L.,1996,StochasticmeanandstochasticvolatilityAthree-factormodelofthetermstructureofinterestratesanditsapplicationtothepricingofinterestratederivatives,FinancialMarkets,Institutions,andInstruments5,1-88.[12]Ahn,D.,andB.Gao,1999.Aparametricnonlinearmodeloftermstructuredynamics.ReviewofFinancialStudies12,721-762.[13]Dai,Q.andK.J.Singleton,2002,Expectationpuzzles,time-varyingriskpremiaandaffinemodelsofthetermstructure,JournalofFinancialEconomics63,415-441.[14]Heath,D.,R.JarrowandA.Morton,1992,Bondpricingandthetermstructureofinterestrates:anewmethodologyforcontingentclaimsvaluation,Econometrica60,77-105.[15]Hull,J.andA.White,1993,Onefactorinterestratemodelsandthevaluationofinterest-ratederivativesecurities,JournalofFinancialandQuantitativeAnalysis28,235-254.[16]Inui,K.andKijima,M.,1998,AMarkovianframeworkinmulti-factorHeath-Jarrow-Mortonmodels,JournalofFinancialandQuantitativeAnalysis33,423-