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无套利假设是金融资产定价的最基本假设之一,本文利用无套利动态Nelson-Siegel模型(AFDNS)拟合了我国银行间国债市场即期利率,并利用卡尔曼滤波法提取出了决定利率期限结构变动的三个主要因素。实证分析认为,水平因子代表长期利率,斜率因子代表短长期利差,曲率因子代表中期利率,实证结果表明:水平因子虽然波动率较小但表现出了很高的持久性。斜率因子持久性最低,曲率因子波动最大。分析表明,斜率因子不仅与广义货币供应量同比增长率高度负相关,同时也与消费物价指数高度正相关,水平因子和曲率因子与宏观因子的相关性都不如斜率因子表现得明显。
The arbitrage-free assumption is one of the most basic hypotheses of financial asset pricing. In this paper, the non-arbitrage dynamic Nelson-Siegel model (AFDNS) is used to fit the spot interest rate of China’s inter-bank government bond market, and the Kalman filter method is used to extract the interest rate deadline Three main factors of structural change. The empirical analysis shows that the horizontal factor represents the long-term interest rate, the slope factor represents the short-and-long-term spread and the curvature factor represents the medium-term interest rate. The empirical results show that the level factor shows a high persistence though its volatility is small. The slope factor has the lowest persistence and the curvature factor fluctuates the most. The analysis shows that the slope factor is not only highly negatively correlated with the year-on-year growth rate of broad money supply, but also highly positively correlated with the consumer price index. The correlation between the horizontal factor and the curvature factor and the macro factor is not as obvious as the slope factor.