利率跳跃扩散模型的理论估计与蒙特卡罗模拟检验  

Theoretical Estimate and Monte Carlo Simulation Test for Interest Rate Model with Jumps-Diffusion

作　　者：刘凤琴[1] 戈晓菲[2] 

机构地区：[1]浙江财经学院信息学院,浙江杭州310018 [2]浙江财经学院金融学院,浙江杭州310018

出　　处：《管理工程学报》2009年第4期91-95,103,共6页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金资助项目(70571068)

摘　　要：我国货币政策调控已基本实现由直接调控向间接调控的转变,对利率的形成机制产生重大的影响,因此传统的假设利率服从扩散过程的模型日益受到挑战。本文在将跳跃因子加入到CIR模型的基础上,提出了一种服从跳跃扩散过程的利率变化模型,并用最大似然估计法对模型中的参数进行了估计;在此基础上,对我国存贷款利率的变化过程进行了蒙特卡罗模拟检验。研究发现,加入跳跃扩散过程后,模型不但能更好地拟合实际数据,而且揭示了利率回复和水平效应的部分原因,从而增加了模型的解释能力。Our monetary policy has been changed from direct regulation to indirect regulation which has a significant impact on the formation mechanism of interest rates, the traditional assumption that the interest rate subject to diffusion process has increasingly been challenged. By adding jump factor into the CIR model, this paper puts forward a new interest rate model of jump-diffusion process, and estimates its parameters by maximum like-hood method. On the basic of this analysis, we give out the empirical result with Monte Carlo simulation. The study found that after adding jump-diffusion process, the model can better fit the actual data, thereby increasing the ability of the model＇s explanation.

关 键 词：跳跃扩散 均值回复 最大似然估计 蒙特卡罗模拟 

分 类 号：F273[经济管理—企业管理]