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Analysis On The Term Structure Of Treasury Bonds Based On Modified NSM Model

Posted on:2016-09-25Degree:MasterType:Thesis
Country:ChinaCandidate:P F YanFull Text:PDF
GTID:2279330461982853Subject:Financial
Abstract/Summary:PDF Full Text Request
As one of the hot and key topic in the area of financial mathematics, the term structure of interest rates studies the relationship between capital of different terms to maturity and term to maturity.As the interest rate liberalization goes deeper, the variation form of yield curve is more complex.For the yield curve of government bonds, the important reference to benchmark interest rate, the researches on variable factors of yield curve of government bonds have greater theoretical and practical significance on the understanding of market interest rate and changing trend.Firstly, this paper introduces the traditional theory and modern research model of term structure of interest rates,discusses and analyzes the advantages and disadvantages of each model.Then, aiming at the liquidity differences among different government bonds in government bond market, it introduces the liquidity weight to the more mature NSM model in the present stage, thus deducing the modified model. And it chooses 15 government bonds of Shanghai Stock Exchange as the sample to compare the fitting effect of modified model with that of NSM model. The results show that the modified model not only preserves the advantage of high precision fitting of NSM model, but also conforms to the theoretical price of government bond in terms of pricing, indicating that the modified model is more available in our market.Finally, on the basis of the modified model, it makes the principal component analysis on the fitting yield curve by the means of principal component analysis method, reaching the three main factors influencing the yield curve:level factor, inclination factor and curvature factor. After that, it analyzes the causal relationship between the three main factors and four macro economic indicators by building VEC model, thus the respective influence of each economic indicator on the variation of yield curve is reached.
Keywords/Search Tags:The term structure of interest rates, NSM model, principal component analysis, VEC model
PDF Full Text Request
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