单因子利率期限结构模型的广义矩估计及对中国货币市场的实证检验  

GMM Estimation for Single factor Term Structure of Interest Rate Models and the Empirical Test of Chinese Money Market

作　　者：马晓兰[1] 潘冠中[1] 

机构地区：[1]云南财贸学院

出　　处：《数量经济技术经济研究》2006年第1期107-116,共10页Journal of Quantitative & Technological Economics

摘　　要：本文在多个著名的单因子利率模型的基础上,提出了一个新的一般模型,其漂移项涵盖了线性和非线性两种形式。并用广义矩方法进行参数估计,在多种指标的比较下得到了一个较好模型。此模型的漂移项为非线性形式,具有显著的均值回复效应,且利率波动对利率水平极为敏感。In this article, a new general model is proposed in which drift can be linear and nonlineor, based on several famous single - factor interest rate models. The author estimate the parameters of different models by GMM, and obtain a better model under comparison by many indexes. This model has nonlinear drift, has significant mean - reverting effect, and the volatility is highly sensitive to interest rate level.

关 键 词：利率模型 广义矩方法 漂移项 均值回复效应 

分 类 号：F224.0[经济管理—国民经济]