利率期限结构理论研究综述  

Literature Review of Term Structure Theory of Interest Rates

作　　者：李保林[1] 阿卜杜瓦力.艾佰 

机构地区：[1]中央财经大学,北京100081 [2]新疆财经大学,新疆乌鲁木齐830012

出　　处：《金融发展研究》2014年第7期3-11,共9页Journal Of Financial Development Research

摘　　要：本文主要对利率期限结构的理论研究做综述,以20世纪70年代初和90年代末为分界线,70年代以前称为传统的利率期限结构,主要以描述性研究为主;70年代以后称为现代利率期限结构,主要以随机模型研究为主;从20世纪90年代末,开始了两极分化发展。本文分为三个部分:第一部分对20世纪70年代之前传统利率期限结构的描述性理论作了概括;第二部分是现代利率期限结构的定量模型,包括均衡模型和无套利模型;第三部分则主要介绍20世纪90年代末以来的一些最新研究进展,包括市场模型和宏观金融模型等。This paper is mainly about a literature review of the term structure theory of interest rates. Taking the early 1970 s and the late 1990 s as the dividing line, previous studies of 1970 s was called traditional term structure,mainly based on descriptive study. After the 1970 s,it was known as the modern term structure,mainly based on stochastic model research. Since the late 1990 s,the polarized development began. This paper is divided into three parts.The first part is a summary of the descriptive theory before the 1970 s. The second part is the quantitative model of modern term structure of interest rates,including the equilibrium models and the no-arbitrage model. The third part introduces some latest research progress since the late 1990 s, including market model and macro-financial model.

关 键 词：利率期限结构 均衡模型 无套利模型 市场模型 宏观金融模型 

分 类 号：F830[经济管理—金融学]