Application Of Nelson - Siegel Model In National Debt Pricing And Performance Decomposition

No matter for macroeconomic or micro finance, term structure of interest rate is a core theme, it is intuitive and comprehensive reflects the market in different period the price of capital. National debt interest rate term structure reveals a national financial market interest rate fluctuation of information, it for the implementation of monetary policy and financial investment guide are both to have the important reference function.This paper Nelson-Siegel model as the main line, the system analysis the model features and economic meaning, expounds its relative to other common model in our country the term structure of interest rate structure, forecasting advantages and powerful performance attribution applications, in the study concluded that some are beneficial to the practice of the conclusion.Nelson-Siegel model is suitable for constructing our term structure of interest rate; Assum λ is1and effectively choose iteration initial value, reduce the iteration times, satisfy the practice field real-time term structure of interest rate of the construction demand, improve the pricing efficiency, more conducive to investors for arbitrage opportunities grasp and portfolio strategy adjustment, as well as bond futures trading has made good matting, Through the forecast N-S model parameter method can effective term structure of interest rate forecast, VAR(1) the prediction results compared better, and in the prediction of time, short-term prediction model of ability is stronger, long-term is weak. In the fixed income kind of bond yields decomposition practice application, the application of N-S model parameters change rate of return on the decomposition method, it fills the domestic N-S model parameters on the application of the blank, is a bold attempt to transcend and type, the financial investment performance attribution analysis has a strong guiding role.This paper completely from the perspective of practice, and tries to put forward a frame:looking for suitable for China’s bond market accurate term structure of interest rate building method, and to find a reasonable way of term structure of interest rate prediction and application, in this framework between Banks using the national debt data to empirical research in order to get good practice.