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dc.contributor.advisor郑振龙
dc.contributor.author吴玮煌
dc.date.accessioned2016-02-23T01:21:30Z
dc.date.available2016-02-23T01:21:30Z
dc.date.issued2015-07-10 16:32:46.0
dc.identifier.urihttps://dspace.xmu.edu.cn/handle/2288/96448
dc.description.abstract利率走势的判断对于市场参与主体的投融资决策意义重大。作为银行间债券市场最重要的两类债券,国债和国开债的利率期限结构信息蕴含着市场参与主体对于未来利率的预期,是判断利率走势的重要依据。根据远期利率计算公式,远期利率可以由当前的长期利率和短期利率推导出来。但是在现实世界中,远期利率并不是人们对未来即期利率预期值的无偏估计。因为远期利率不仅包含对未来即期利率的预期,而且包含期限溢酬。期限溢酬来源于投资者投资消费选择的不确定性以及流动性偏好。经过期限溢酬调整的远期利率是对未来即期利率更为准确的估计,解读期限溢酬的信息对于债券投资者和中央银行都具有重要意义。 期限溢酬提取方法分为先验信息法和后验信息法...
dc.description.abstractForecasting interest rate is important for market participants in making investment and financing decisions. In inter-bank bond market, the price of treasury bonds and CDB bonds contains important information about the term structure of interest rate .The information extracting from the bond market is the main resource to predict interest rates. Forward rates can be derived from long-term interest...
dc.language.isozh_CN
dc.relation.urihttps://catalog.xmu.edu.cn/opac/openlink.php?strText=46913&doctype=ALL&strSearchType=callno
dc.source.urihttps://etd.xmu.edu.cn/detail.asp?serial=50237
dc.subject利率期限结构
dc.subject期限溢酬
dc.subject银行需求因子
dc.subjectTerm Structure
dc.subjectTerm Premium
dc.subjectDemand Factor
dc.title利率期限结构信息含量——基于期限溢酬的视角
dc.title.alternativeThe Information in Term Structure——Based on the Perspective of Term Premium
dc.typethesis
dc.date.replied2015-05-13
dc.description.note学位:经济学硕士
dc.description.note院系专业:经济学院_金融工程
dc.description.note学号:15620121151922


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