CAJ | 학술논문

针对国债市场部分债券价格扭曲的情况，提出一种基于M-SCAD (M-Estimator Sm-oothing Clipped Absolute Deviation)方法的稳健样条利率期限结构模型。首先，将M-SCAD方法引入到三次多项式样条函数中对利率期限结构建模。然后，给出模型的优点和性质，使用该方法进行节点选择，可以确定样条函数的节点数量和位置，同时进行参数估计。最后，把构建的模型进行实证研究，对上海证券交易所交易的国债利率期限结构进行建模分析。样本外预测结果显示：与传统的方法相比，新方法可以有效地选择合适的模型，增加参数估计的稳健性，提高预测的精度，增强期限结构定价的准确度。
침대국채시장부분채권개격뉴곡적정황，제출일충기우M-SCAD (M-Estimator Sm-oothing Clipped Absolute Deviation)방법적은건양조리솔기한결구모형。수선，장M-SCAD방법인입도삼차다항식양조함수중대리솔기한결구건모。연후，급출모형적우점화성질，사용해방법진행절점선택，가이학정양조함수적절점수량화위치，동시진행삼수고계。최후，파구건적모형진행실증연구，대상해증권교역소교역적국채리솔기한결구진행건모분석。양본외예측결과현시：여전통적방법상비，신방법가이유효지선택합괄적모형，증가삼수고계적은건성，제고예측적정도，증강기한결구정개적준학도。
Considering that some bonds in the domestic market are inaccurately priced, based on the M-Estimator Smoothing Clipped Absolute Deviation (M-SCAD) method, we propose a robust spline model to fit the term structure of the interest rate in our bonds market. First, we combine the M-SCAD method with cubic polynomial splines to model the term structure of the interest rate. Second, we give the advantages and properties of the proposed model. The method can simultaneously perform parameter estimation and knot selection. Lastly, we use this method to construct the term structure of treasury bills in the SSE (Shanghai Stock Exchange), which reveals that the model is more robust than conventional ones. In addition, the out-of-sample forecasting results show that the model can improve the pricing precision of bonds compared to traditional methods.