Prediction on the Term Structure of Treasury Bonds in China

摘要：

The term structure of treasury bonds’ interest rates reveals information of fluctuations in interest rates in the country’s financial market. It has great value in investment and monetary policy. This paper first estimates the parameters in the Nelson-Siegel model using the latest five years’ data of China’s treasury bonds, then establishes a VAR model for the time series of those parameters, the level factor, the slope factor and the curvature factor, in order to predict the change in the shape of the yield curve as a whole in a dynamic way. The result reveals that, this model is good at predicting for short time but weak for long time. The method and conclusion would provide important reference to monetary policy and investment decisions.

关键词： The Term Structure of Interest Rate Nelson-Siegel Model VAR Model

作者: HU Zhiqiang WANG Ting

作者单位: Economy and Management School, Wuhan University, P.R.China, 430072

会议类型: 国际会议

会议名称: 2009 International Institute of Applied Statistics Studies(2009 国际应用统计学术研讨会)

会议地点: 青岛

会议语种:英文

页码: 1-9

在线出版日期: 2009-07-25（万方平台首次上网日期，不代表论文的发表时间）