The four-factor dynamic term structure model is built up in this paper to improve substantially to widely used Nelson-Siegel model and tree-factor dynamic Nelson-Siege model. An additional slop factor is added to tree-factor dynamic model to make it more flexible in fitting and forecasting the short end of yield curve. Our model nests the three-factor dynamic Nelson-Siegel model as a special case and these two models can be compared directly by likelihood ratio. The model is formulated in state space form (6) and Kalman filtering is employed to construct likelihood. The empirical study is conducted using data from China interbank bond market and the conclusion shows that our double-slope-factor model can capture dynamics in short end of yield curve more accurately and then has a better fitting and forecasting performance than three-factor dynamic Nelson-Siegel model. The likelihood ratio test justifies the need of the additional slop factor. The model in the paper is an extension to those in the literature of term structure of interest rate and can be used in other empirical studies.
SHEN Gen-xiang, CHEN Ying-zhou
. Nelson-Siegel Dynamic Term Structure Model with Double Slope Factors and Its Applications[J]. Chinese Journal of Management Science, 2015
, 23(10)
: 1
-10
.
DOI: 10.16381/j.cnki.issn1003-207x.2015.10.001
[1] Piazzesi M. Affine term structure models[M]//Ait-Sahalia Y, Hansen LP. Handbook of financial econometrics. North-Holland:Elsevier, 2010:691-766.
[2] Shea G. Pitfalls in smoothing interest rate term structure data:Equilibrium models and spline approximations[J]. Journal of Financial and Quantitative Analysis, 1984, 19(3):253-269.
[3] Nelson C R, Siegel A F. Parsimonious modeling of yield curves[J]. Journal of Business, 1987, 60(4):473-489.
[4] Vasicek O. An equilibrium characterization of the term structure[J]. Journal of Financial Economics, 1977, 5(2):177-188.
[5] Cox J C, Ingersoll J E, Ross S A,et al. A theory of the term structure of interest rates[J]. Econometrica, 1985, 53(2):385-407.
[6] Duffie D, Kan R. A yield-factor model of interest rate[J]. Mathematical Finance, 1996, 6(4):379-406.
[7] Dai Q, Singleton K. Term structure dynamics in theory and reality[J]. Review of Financial Studies, 2003, 16(3):631-678.
[8] Duffee G D. Term premium and interest rate forecasts in affine models[J]. Journal of Finance, 2002, 57(1):405-443.
[9] Diebold F X, Li Canlin. Forecasting the term structure of government bond yields[J]. Journal of Econometrics, 2006, 130(2):337-364.
[10] Christensen J H E, Diebold F X, Rudebusch G D. The affine arbitrage-free class of Nelson-Siegel term structure models[J]. Journal of Econometrics, 2011, 44(1):4-20.
[11] 胡海鹏, 方兆本. 中国利率期限结构平滑样条拟合改进研究[J]. 管理科学学报,2009,12(1):101-111.
[12] 周子康, 王宁, 杨衡.中国国债利率期限结构模型研究与实证分析[J].金融研究,2008, (3):131-150.
[13] 余文龙, 王安兴.基于动态Nelson-Siegel模型的国债管理策略分析[J].经济学(季刊), 2010, 9(3):1403-1426.
[14] 沈根祥. 基于动态Nelson-Siegel模型的利率期限结构预期理论检验[J]. 上海经济研究,2010, (4):39-44.
[15] 沈根祥. 货币政策对利率期限结构的影响-基于动态Nelson-Siegel模型的实证分析[J]. 当代财经, 2011, (3):59-66.
[16] 谈正达, 霍良安. 无套利Nelson-Siegel模型在中国国债市场的实证分析[J]. 中国管理科学, 2012(06):18-27.
[17] 石柱鲜, 孙皓, 邓创. 中国主要宏观经济变量与利率期限结构的关系:基于VAR_ATSM模型的分析[J]. 世界经济, 2008, (3):53-59.
[18] 李宏瑾, 钟正生, 李晓嘉. 利率期限结构、通货膨胀预测与实际利率[J]. 世界经济,2010, (10):120-138.
