我国动态利率期限结构的实证研究——基于离散时间的三因子QTSM模型的应用  

Dynamics of Chinese Term Structure of Interest Rates with Three-factor Discrete-time QTSM

作　　者：王水嫩[1] 吴吉林[2] 操君[3] 

机构地区：[1]浙江师范大学经济管理学院,浙江金华321004 [2]山东大学经济研究院,山东济南250100 [3]安徽农业大学经济管理学院金融系,安徽合肥230061

出　　处：《管理工程学报》2011年第1期69-76,共8页Journal of Industrial Engineering and Engineering Management

摘　　要：本文在扩展的卡尔曼滤波法及拟极大似然估计法的基础上,首次把离散时间下三因子二次方形式的动态利率期限结构模型应用于上交所国债期限的研究,并在二次方利率期限结构框架内比较了常数型、仿射型和二次方型市场风险函数对不同利率期限结构的拟合效果。我们发现二次方市场风险对1年期利率拟合的最好;对2年期利率的拟合,常数型和仿射型市场风险比二次方市场风险表现更佳;而对3、4、5年期利率的拟合,仿射型市场风险表现最好。Term structure of interest rates has become a major research topic in the financial and economics fields.The rapid development of financial derivatives modeling and econometric estimation methods has primarily contributed to the growing importance of this research topic.Modeling methods used to manage the term structure of interest rates are more mature in the developed countries.In contrast,the bond market in China is at the inception stage,and is often susceptible to the influence of national policies and high market volatility.After being through a series of financially institutional reforms,Chinese bond market has made great progress in bond issue scales and types in the primary market,as well as in trading rules in the secondary market.These distinct market characteristics call for special attention to the term structure of interest rates in Chinese bond market.This study examines well-established econometric theories and methods on term structure of interest rates.We apply these theories and methods to understanding Chinese bond market.A model is proposed to better assess Chinese bond market.This proposed model can help uncover the existing term structure of interest rates in Chinese bond market.Knowledge about Chinese bond market can provide a theoretical basis to help understand Chinese derivative pricing and hedging practices.More importantly,investors can understand how the central government in China conducts its monetary policy and its potential influence on the derivative market.Affine term structure models（ATSMs） accommodate stochastic volatility,jumps and correlations among all risk factors and provide analytical tractability for investors.Virtually all of the empirical implications of multifactor term structure models have utilized ATSMs because they use time series data on long-and short-term bond yields simultaneously.However,empirical evidence shows that this model has tension between delivering empirical performance of fitting interest rates and denying positive probabilities of negative i

关 键 词：二次方利率期限结构模型 扩展的卡尔曼滤波法 市场风险价格 

分 类 号：F830[经济管理—金融学]