利率仿射模型下的利率风险价格形式实证研究  

Empirical research on specification of interest risk price under framework of affine DTSM

作　　者：郑振龙[1] 柯鸿 莫天瑜[1] 

机构地区：[1]厦门大学金融系,厦门361005 [2]第一创业证券,深圳518028

出　　处：《管理科学学报》2010年第9期4-15,25,共13页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(70971114);教育部国际金融危机应对研究应急资助项目(2009JYJR051);福建省自然科学基金资助项目(2009J01316)

摘　　要：在仿射利率期限结构动态模型(affine DTSM)框架下,利率风险价格主要有4种设定形式:完全仿射模型(CAM)、实质仿射模型(EAM)、扩展仿射模型(EXAM)和半仿射模型(SAM),经过前人理论和实证的证明,EAM优于CAM,EXAM和SAM均优于EAM.然而,EXAM和SAM的孰优孰劣无法单从理论上的比较得出结论,同时亦鲜有相关的实证研究对其进行比较.因此,文中运用卡尔曼滤波估计法,在三因子CIR模型的基础上对SAM、EXAM和EAM进行实证比较,实证结果表明EXAM要优于SAM.此外,稳健性检验表明,EXAM虽然已为目前最优的利率风险价格形式,但其仍然不够完善.There exists four primary specifications of interest risk price under the framework of affine DTSM： Completely affine model（CAM）,essentially affine model（EAM）,extended affine model（EXAM）,semi-affine Model（SAM）.It has been proved both in theory and empirical studies that EAM is superior to CAM,and that EXAM and SAM are both superior to EAM.But no theoretical evidence and few empirical studies could help to determine a better model between semi-affine model and extended affine model.So this paper does an empirical comparison on SAM、EXAM and EAM based on the three-factors CIR model and estimation method of kalman filter.The empirical results suggest that EXAM is the best specification of interest risk price.However,the robust test suggests that EXAM is not perfect enough to capture all the information in the term structure of interest rate.

关 键 词：利率仿射模型 利率风险价格形式 扩展仿射模型 半仿射模型 

分 类 号：F830.91[经济管理—金融学]