CKLS-JUMP过程驱动的利率动态模型:理论估计与实证模拟  

Theoretical Estimation and Empirical Simulation for Interest Rate Dynamic Models Driven by the CKLS-JUMP Process

作　　者：刘凤琴[1] 王凯娟[1] 

机构地区：[1]浙江财经学院

出　　处：《数量经济技术经济研究》2011年第7期151-160,F0003,共11页Journal of Quantitative & Technological Economics

基　　金：教育部人文社会科学研究项目(编号:09YJA790179);浙江省人文社会科学重点研究基地项目的资助(编号:JYTjr20101202)

摘　　要：利率期限结构动态模式研究已经成为现代金融领域的一个研究热点,而跳跃扩散过程已经成为模拟存贷款利率最为有效的动态模型。本文主要以商业银行存贷款利率为对象,研究分析利率期限结构的动态变化过程。首先基于存贷款利率的变化特征,建立利率的CKLS-JUMP跳跃扩散模型;其次,运用马尔科夫链蒙特卡罗模拟方法(MCMC)对其参数进行理论估计;最后,以我国商业银行五年期存贷款利率为例进行实证模拟。研究结论认为:CKLS-JUMP模型更加符合我国存贷款利率动态行为;同时MCMC方法比传统估计方法更加准确。Studies on dynamic model for interest rate term structure become research topic of modern finance. Further, jump - diffusion processes become the most effective dynamic models for simulating deposit and lend interest rate. In this paper, choosing deposit and lend interest rate for business banks as objects, we analyze and explore dynamic process for interest rate term structure. Firstly, based on the main feature, we set CKLS - JUMP model for deposit and lend interest rate. Secondly, we estimate parameters of the model by using MCMC. Lastly, taking 5 years deposit and lend interest rate examples, we make an empirical simulation. Conclusions of the research are： the CKLS - JUMP model conforms more to the dynamic behavior of our deposit and lending rates; MCMC method gives a superior estimation on parameters of the jump diffusion model, with more complete and accurate results.

关 键 词：存贷款利率 利率期限结构 CKLS—JUMP模型 MCMC方法 

分 类 号：F273[经济管理—企业管理]