matlab代码影响-Nelson-Siegel-model-master:纳尔逊·西格尔(NelsonSiegel)模型大师

上传者: 38503483 | 上传时间: 2021-06-08 16:13:57 | 文件大小: 36.33MB | 文件类型: ZIP
matlab代码影响我的本科论文:分析中国国债收益率曲线的特征和宏观经济变量 另请参阅我的帖子 摘要国债收益率曲线描述了不同期限的国债收益率及其之间的关系。 人们普遍认为,在有效的金融市场中,国债收益率曲线包含丰富的经济信息,这对微观经济和宏观经济均具有重要意义。 在本文中,通过Nelson-Siegel-Svensson模型,估算了中美国债收益率曲线的结构,然后用三维图表示。 与相对于美国的描述性统计数据相比,中国的银行间债券收益率曲线短期利率波动更大,并且离散,中期和长期收益率的利差要比美国小得多。 此后,进行了主成分分析,很明显水平因子,斜率因子和曲率因子是影响产量曲线特征的主要因素,并进一步探讨了主成分与宏观经济变量之间的关系。 水平因子包含通货膨胀信息,斜率因子可以反映市场参与者的信心和预期变化,收益率曲线特征比货币供给对货币政策的响应更快地反映出来。 最后,识别出债券收益率曲线的特征。 本文认为,只有丰富债券品种,激发债券市场的活力,债券市场才能进一步发挥利率发现的作用。 一些工作细节 其中包含我本科论文的代码。 我发现在python / R / matlab中有一些NS

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