双对数利率期限结构模型及其实证研究  

Empirical Study of Double Logarithmic Term Structure Model

作　　者：张清洁 

机构地区：[1]安徽财经大学金融学院,安徽蚌埠233030

出　　处：《黑龙江工业学院学报（综合版）》2017年第11期91-96,共6页Journal of Heilongjiang University of Technology(Comprehensive Edition)

摘　　要：近年来,随着中国利率市场化的快速发展,利率研究的现实意义变得越来越重要。利率期限结构模型的研究对于利率的确定和应用具有非常重要的现实意义。首先利用短期利率对双对数利率期限结构模型进行参数估计,然后选取5只在上海证券交易所交易的国债,并用马尔可夫链蒙特卡洛法对选取的国债进行价格模拟,分析真实价格与模拟价格的误差率。In recent years,with the rapid development of China＇s interest rate market,the practical significance of interest rate research becomes more and more important. The research on term structure model of interest rate is very important for the determination and application of interest rate. This paper first use short-term interest rates as parameters of the double logarithmic model of interest rate term structure estimation,then select 5 in the Shanghai stock exchange bonds,and selection of the Treasury bond price simulation with Monte Carlo method,compared with its real price. In this paper the double logarithmic model of interest rate term structure is more reasonable and accurate to estimate the term structure of interest rate of bond market in our country,and then improve the validity of interest rate risk management,the accuracy of financial product pricing and macroeconomic forecast.

关 键 词：双对数利率期限结构模型 债券定价 马尔科夫链蒙特卡罗法 

分 类 号：F832.1[经济管理—金融学]