我国国债利率期限结构的静态分析

内容摘要：根据上海交易所和银行间的国债数据，选择使用Nelson-Siegel模型拟合银行间国债市场和交易所国债市场的收益曲线，从而对我国国债利率期限结构进行静态实证分析，可得到如下结论：收益率曲线呈向上倾斜，符合纯预期理论和流动性偏好理论，长期国债收益率高于短期国债，这与纯预期理论相符合；但是国债收益率偏低。我国目前上市国债的期限结构明显不是很合理，短期国债发行量和发行规模较小，超长期的品种还很少，而中长期债券占的比重较大，期限结构并不健全。

关键字：国债，国债收益率，利率期限结构，Nelson-Seigel模型
Static and Demonstrated Analysis on Term Structure of
National Bonds Profit Rate in Our Country
Abstract: Aiming at the national bonds data of Shanghai Stock Exchange and the inter-bank, using the Nelson-Seigel model to fit the inter-bank bond market and the exchange bond market yield curve, makes the static and demonstrated analysis for term structure of national bonds profit rate in our country, results show: yield rate curve is up sloping, which accords with the pure expectation theory and liquidity preference theory. The yield rate of long-term national bonds is higher than short- term national bonds, which accords with the pure expectation theory. But the bond yield is comparatively low. At present, the term structure of listed national bonds in our country is not reasonable obviously, the circulation and scale of short-term national bonds are little, and exceeding long-term national bonds is still least, whereas, the proportion of medium-to-long term bonds is high, term structure is not sound.

Key words：national bonds，yield rate of national bonds， term structure of profit rate，Nelson-Seigel model

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