Research On National Debt Investment Strategy Based On Interest Rate Term Structure Prediction

So far,scholars at home and abroad have done a lot of research on the performance of the tactical style distribution model in the stock market,however,few scholars have studied the bond investment strategy based on interest rate term structure.The vast majority of the literature on the predictability of bond returns is only to explore the linkage between bond and stock or the linkage between bond and stock,ignoring to study the linkage between different maturity bonds..Scholars who study the tactical asset allocation decisions in the bond market focus on using interest rates to forecast global bond portfolio gains,but they do not further explore the predictability of other dimensions of the yield curve shape?such as slope and curvature?.Recently,few scholars have begun to recognize the importance of predicting the yield curve through research.With the deepening of interest rate marketization in China,the term structure of interest rate is becoming more and more perfect.At the same time,the rapid development of bond market has brought many investment opportunities to investors.In view of this,this paper studies the predictability of interest rate term structure in China and analyzes the investment income of the bond according to the forecast results,to provide new investment strategy to investors.The article first reviews the historical research results on interest rate structure of the domestic and foreign scholars and the gradual evolution of the situation,and then sort out the relevant theory of the interest rate structure and the positive investment strategy.On the basis of this,we use the Nelson-Siegel model to select the three potential factor?the horizontal factor ?₀,the slope factor ?₁,the curvature factor of the interest rate term structure ?₂?of the interest rate term structure of China's national debt from January 2008 to December 2016,after the stationary test,it is found that the P,and P2 sequences are stationary,except that the first order of the ?₀ sequence is not stationary and first order differential sequence of all the three parameters are stationary.Considering that ?₀ may obey the random walk process?the latter analysis confirms this?,it is not predicted using historical data.The time series of ??₁ and ??₂ were used in the AR?2?model and the VAR model for intra-sample fitting and out-of-sample prediction.The predictive effect is evaluated by the sign accuracy of the predictions of the samples.It is found that the historical data of the parameters are not suitable for intra-sample fitting and out-of-sample prediction;Then,a simple single factor OLS regression analysis and prediction of??₀,??₁ and ??₂ were carried out by 13 economic variables.It was found that the??₀ symbol was unpredictable and some variables had some predictive ability to??₁ and ??₂;Finally,a multivariate rolling regression analysis of the parameters is carried out by introducing four or below economic variables,and the OLS regression model satisfying the established conditions?stable,effective and better predictive ability?is selected.Combined with the Bayesian model,the ??₁ symbol and the??₂ symbol of the transaction stage are predicted?all the multiple regression models for ??₀ do not meet the established conditions,that's to say,it's symbol can not be predicted?,and to build five kinds of bond butterfly combination,with the combination maintaining a sensitive neutral to the level factor ?₀ and interest rate factor ?₁?or curvature factor ?₂?of interest rate term structure,to calculate the weight of wings of each combination,and to calculate the sensitivity of each combination to the curvature factor?or slope factor?of the interest rate term structure,and decide to long or short the combination according to the forecast result and the sensitivity sign,and the analysis of the revenue of each bond butterfly combination shows that investment according to changes in the structure of the term are able to bring investment income to investors in most cases.Trading 1-3-5 years,1-3-10 years,1-5-10 years of butterfly combination benefits significantly more than 3-5-7 years,3-5-10 years butterfly combination basing on the trend of both the slope and the curvature of the interest rate structure,and for the combination of 1-3-5 years,1-3-10 years and 1-5-10 years,and the investment based on the forecast results of slope trend is more likely to benefit more than the investment based on the forecast results of curvature trend,for the combination of 3-5-7 years and 3-5-10 years,the investment based on the forecast results of curvature trend is more likely to benefit than the investment based on the forecast results of slope trend.,but benefits little.