Vasicek状态空间模型与上交所国债利率期限结构实证  

Empirical Study on Estimated Error of Term Structure of Interest Rate Using BSplines Method

作　　者：傅曼丽[1] 屠梅曾[1] 董荣杰[1] 

机构地区：[1]上海交通大学安泰管理学院,上海200052

出　　处：《系统工程理论方法应用》2005年第5期458-461,共4页Systems Engineering Theory·Methodology·Applications

摘　　要：在分析现有多因子V asicek利率模型基础上,通过改进模型状态因子非相关性假定,推导出新的单、双因子V asicek状态空间利率模型及相应参数估计方法。最后利用上交所国债隐含的收益率数据估计了单因子及双因子V asicek状态空间利率模型。实证表明改进的双因子V asicek利率模型,比较准确地描述了利率期限结构的动态变化特征。This paper discusses the updated Vasicek model by releasing the hypothesis of uncorrelated factors. The model is expressed in a state-space form and the Kalman filter is used to estimate the parameters of model. The empirical study shows that this two-factor Vasicek state-space model is efficient and can be used to model the dynamic interest rate term structure of government bonds in SSE.

关 键 词：国债 利率期限结构 双因子Vasicek模型 卡尔曼滤波 

分 类 号：F830.9[经济管理—金融学]