中國市場上根據(jù)收益率曲線進(jìn)行宏觀調(diào)控的可行性研究.pdf

1、目錄mmiAbstractIIn弓丨胃l1.1研究背景11.2研究方法和全文安排21.3本文的創(chuàng)新3第二章理論概述32.1敞32.2我國債券市場的發(fā)展52.2.1我國債券市場的總體發(fā)展52.2.2我國國債市場的發(fā)展歷程82.2.3我國國債市場的現(xiàn)狀122.2.4現(xiàn)階段國債在我國經(jīng)濟(jì)發(fā)展中的重要作用132.3收益率曲線的概念及意義142.4債券收益率曲線對未來通貨膨脹的預(yù)測作用162.5當(dāng)下研究的重要性1

2、6第三章文獻(xiàn)綜述173.1國外的相關(guān)研究173.2國內(nèi)研究現(xiàn)狀19第四章構(gòu)造收益率曲線204.1模型介紹及數(shù)據(jù)說明214.1.1尼爾森辛戈?duì)柲Ｐ徒榻B234.1.2數(shù)據(jù)說明244.2收益率曲線的擬合25第五章對收益率曲線斜度含通貨膨脹信息的檢驗(yàn)265.1經(jīng)典費(fèi)雪定理應(yīng)用265.1.1原理介紹275.1.2實(shí)證檢驗(yàn)及實(shí)證結(jié)果分析275.2國債收益率曲線水平W與未來通貨膨脹率的關(guān)系315.2.1原理介紹

3、315.2.2實(shí)證檢驗(yàn)結(jié)果33第六章結(jié)論及政策建議336.1辦336.2本文的不足之處346.3政策建議34##雄37mM40復(fù)n人學(xué)碩1.畢業(yè)論文中國市場上根據(jù)收益率曲線進(jìn)行宏觀調(diào)控的可行性研究AbstractThegovernmentbondmarketisanextremelyimptantpartofChinesebondmarketsoyieldsonthegovernmentbondarecriticalt

4、othebondmarketaswellasthewholefinancialmarket.Asaresulttheshapesandchangesinyieldcurveforgovernmentbondbecomeanimptantresearchobject.Theeticallythroughstudiesongovernmentbondyieldcurvewecouldeffectivelyexpandcentralbanks

5、monetaryinstrumentsthuspromotingthedevelopmentofChinasfinancialsystemtowardsmeefficientandhealthierdirection.Inthisarticlewewillanalyzethemacroinformationspecificallyfutureinflationinfmationintheyieldcurvefgovernmentbond

6、sonthebasisofindepthstudyondevelopmentofChinesebondmarket.Intheempiricalstudyweselecteddailyinterbankbondtransactiondatafromendof2006tomid2009andusedNelsonSiegelmodelwiththehelpofMATLABsoftwaretofitthedailyyieldcurve.Bec

7、auseofthelimiteddatasampleweusedtheclassicalFisherTheoremtoassesswhethersixmonthorshorternominalinterestrateingovernmentbondsyieldcurvecouldpredictfutureinflationpressurewetookfulluseofresultsfromNSmodelandusedlevelfactm

8、odeltoassessthepredictiveabilityoflongtermnominalinterestrateingovernmentalbondyieldcurveontherateofinflation.Theempiricalresultsshowthatinourstudyperiodtheinterbankgovernmentyieldcurvehasnoapparentpredictiononfutureinfl