无套利Nelson-Siegel模型在中国国债市场的实证分析

Abstract

Abstract: Arbitrage-free Nelson-Siegel model has the simplicity form of the Nelson-Siegel model, while in essence it is one of the affine dynamic term structure model. In this paper, the dynamic behavior of Chinese interest rate term structure is strudied using this model and it is found that its three state factors have the strong explanatory power on the level, slope and curvature factors of bond yield curve. Compared with dynamic Nelson-Siegel model, the Arbitrage-free Nelson-Siegel model is shown to has the excellent out-of-sample forecasting ability.

Key words: interest rate term structure, state factor, fitting, forecast

CLC Number:

F832

TAN Zheng-da, HUO Liang-an. Empirical Analysis of Arbitrage-free Nelson-Sigel Model in Chinese Treasury Security Market[J]. Chinese Journal of Management Science, 2012, 20(6): 18-27.

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Empirical Analysis of Arbitrage-free Nelson-Sigel Model in Chinese Treasury Security Market

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