中国国债市场短期利率模型的参数与非参数统计分析  

Parametric and Nonparametric Analysis of the Short Interest Rate in Chinese Bond Market

作　　者：胡瑾瑾[1] 陈淼垚[1] 

机构地区：[1]复旦大学管理学院,上海200433

出　　处：《复旦学报（自然科学版）》2011年第1期95-102,共8页Journal of Fudan University：Natural Science

摘　　要：短期利率的动态变化对于宏观经济调控、金融风险管理以及金融衍生产品的定价都具有非常重要的意义.以上海证券交易所的7天国债回购利率数据为样本,采用单因子利率期限结构参数模型和非参数模型,针对我国国债市场短期利率动态变化的研究表明:我国短期市场利率均值回复现象显著,波动率较小;而且均值回复以及波动率的变化与利率水平呈现非线性.The dynamics behavior of the short interest rate is very important for macro economic control,financial risk management and financial derivative pricing.Based on the monthly data of 7-day repo rates trading in Shanghai stock exchange,the investigation of dynamics of Chinese short rate by using parametric and nonparametric methods shows that there is significant evidence of nonlinear mean reversion and relative small volatility which is quite different from U.S.market.

关 键 词：利率模型 国债回购利率 参数模型 非参数模型 

分 类 号：F224.7[经济管理—国民经济]