基于样条函数的国债利率期限结构模型研究  

Empirical Study of the Term Structure of Interest Rates Based on Spline Function

作　　者：陈盛双[1] 姚志鹏[1] 

机构地区：[1]武汉理工大学理学院,湖北武汉430070

出　　处：《武汉理工大学学报（信息与管理工程版）》2007年第6期113-116,共4页Journal of Wuhan University of Technology：Information & Management Engineering

基　　金：国家自然科学基金资助项目(70371063)

摘　　要：结合多项式样条函数和指数样条函数的特点,挑选出在短、中、中长期能最好反映我国国债价格的样条函数,并进一步构造出我国国债的利率期限结构。通过实证分析,所得到的利率期限结构能较好地反映国债价格。According to the characters of polynomial spline and exponential spline, the spline function that can best reflect the prices of government bonds in the short, medium and long - term is selected. Furthermore, the term structure of interest rates is established. The empirical analysis illustrates that the estimated term structure of interest rates can reflect the bond price well.

关 键 词：利率期限结构 样条函数 国债 

分 类 号：F812.5[经济管理—财政学]