中国国债收益率曲线分析与预测Analysis and Forecast of Chinas Government Bond Yield
董阳,周锐,王浩
摘要(Abstract)：
本文提出了国债收益率曲线分解与预测的方法。我们认为期望利率变化、债券风险溢价和凸性偏差是影响收益率曲线的三个重要因素。结合理论分解模型,我们提出两种方法对国债的收益率进行分解,并给出了分解的结果。实证分析表明:在三个影响因素中,债券的风险溢价对国债收益率曲线的影响最为关键,凸性偏差的影响较小且相对平稳;不同的时期,期望利率对收益率曲线的影响方向并不相同,其影响的正负与金融市场的周期性有关。基于上述研究结论,我们提出回报率预测五步法,构建了债券投资组合回报的分析方法。
关键词(KeyWords)： 国债收益率;风险溢价;凸性偏差;期望利率变化
基金项目(Foundation): 国家自然科学基金项目（项目号71471099）的资助
作者(Author): 董阳,周锐,王浩
DOI: 10.16513/j.cnki.cje.20190808.001
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