现阶段中国10年期以上超长期国债收益率的编制是完善收益率曲线的重要工作。针对超长期国债流动性较低的市场特征,本文通过引入一个刻画其相对流动性溢价的因子,建立了一个扩展的Nelson-Siegel(NS)无套利利率期限结构模型。实证研究表明:该模型对1-30年期的整条国债收益率曲线具有良好的横截面拟合效果;投资者对超长期国债收益率要求平均为正的流动性溢价,对15-30年期收益率的贡献在13-63个基点;模型提取出的流动性因子与传统的流动性指标具有高度的相关性和一致性;脉冲响应的结果表明流动性因子与三个NS因子之间存在着显著的互动关系,而方差分解表明流动性因子在长期对水平因子和斜率因子的贡献较大。Compiling the ultra - long term bond yields is critical in establishing a reasonable yield curve. Taking into account the liquidity condition of ultra - long term bonds, this paper establishes an arbitrage - free term structure model by introducing a liquidity factor that describes the yields of ultra - long term bond under the Nelson -Siegel setting. The empirical study shows that the model performs well in fitting the yield curve. Investors demand an invariant positive liquidity premium for ultra - long - term bonds, and the liquidity factor is highly correlated and consistent with traditional liquidity measures. Finally, impulse response analysis shows that there is a significant interaction between the liquidity factor and the three NS factors, and according to variance decomposition, the contribution of tbe liquidity factor is significant in explaining the variance of the level and slope factors.国家自然科学基金项目(70903053、71273007)；中央国债登记结算有限责任公司委托“金融工程咨询项目”的资助
