CKLS框架下短期利率模型的比较分析  

Comparison of Alternative Models of Short-Term Interest Rate under CKLS Framework

作　　者：赵静娴[1] 詹原瑞[1] 

机构地区：[1]天津大学管理学院,天津300072

出　　处：《山西财经大学学报》2007年第4期97-103,共7页Journal of Shanxi University of Finance and Economics

基　　金：国家自然科学基金资助项目(70573076)

摘　　要：在CKLS框架下,采用GMM估计方法,使用我国银行间同业拆借市场、国债回购市场和交易所国债回购市场上的利率数据,对各短期连续时间利率模型进行了参数估计和模型比较。实证结果表明,我国三个市场上的利率波动存在极为显著的均值回复特征。就模型对短期利率变化的解释能力和捕捉利率波动的能力而言,各模型也存在着显著的差异。Under CKIS model＇ s framework, the paper, according to the three seven - day interest rate data daily time series of China＇ s interbank offer market, inter - bank bond redemption market and Shanghai Stock Exchange＇ s bond redemption market, adopts generahzed method of moments using the programs of the Matlab to estimate each time continuous short - term interest rate model＇ s parameters and compare them. The empirical results show that a very evident reversion interest rate exists in our country＇ s three markets. As to the abihty for explanatory power of short- term interest rate and that for capturing conditional volatility, there are remarkably differences among each model.

关 键 词：CKLS框架 利率模型 GMM方法 条件波动性 均值回复 

分 类 号：F832[经济管理—金融学]