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dc.contributor.advisor郑振龙
dc.contributor.author史若燃
dc.date.accessioned2016-02-23T01:21:28Z
dc.date.available2016-02-23T01:21:28Z
dc.date.issued2015-07-10 15:52:57.0
dc.identifier.urihttps://dspace.xmu.edu.cn/handle/2288/96435
dc.description.abstract通胀预期在宏观经济政策的制订和执行中具有重要作用。相较传统的通胀信息提取方法,从金融资产价格中提取隐含的通胀信息具有即时性、前瞻性、真实性等优点。本文考虑包括普通国债与通货膨胀连接债券的资产价格空间,设定均值回归的高斯仿射因子形式,组织构建了三因子动态利率期限结构模型:名义-真实利率期限结构模型。其中第三个因子是具有通货膨胀经济意义的隐含因子。通过对名义-真实利率期限结构模型进行推导,本文成功地获得了名义债和真实债的解析定价公式,并依据费雪方程式的分割理论,完成了对单期及多期通货膨胀补偿的解析分解,获得了名义收益率、真实收益率、通货膨胀预期、通货膨胀风险溢酬以及凸性调整Jensen项的解析表达...
dc.description.abstractInflation expectation performs a significant role in macro-economic policy making and operability. Compared with the inflation information got by traditional methods, the inflation information implied in financial asset price possesses many good qualities such as instantaneity, forward looking, accuracy and higher frequency. The paper established an asset price space which include ordinary treasur...
dc.language.isozh_CN
dc.relation.urihttps://catalog.xmu.edu.cn/opac/openlink.php?strText=46955&doctype=ALL&strSearchType=callno
dc.source.urihttps://etd.xmu.edu.cn/detail.asp?serial=49457
dc.subject通货膨胀预期
dc.subject通胀风险溢酬
dc.subject动态期限结构模型
dc.subject通胀连接债券
dc.subjectInflation Expectation
dc.subjectInflation Risk Premium
dc.subjectDynamic Term Structure Model
dc.subjectInflation-Linked Bond
dc.title固定收益资产价格隐含通货膨胀信息的提取与分析
dc.title.alternativeThe Extraction and Analysis of the Implied Inflation Information of Fixed Income Assets Prices
dc.typethesis
dc.date.replied2015-05-10
dc.description.note学位:经济学博士
dc.description.note院系专业:经济学院_金融工程
dc.description.note学号:15620120153635


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