基于二因子Vasicek模型的我国质押式回购市场利率的实证研究  

Empirical Study on the Pledged Repo Interest Rate in China Based on the Two-factor Vasicek Model

作　　者：张清洁 ZHANG Qing-jie(Department of Economics and Management,Bozhou University,Bozhou Anhui 236800,China)

机构地区：[1]亳州学院经济与管理系,安徽亳州236800

出　　处：《海南热带海洋学院学报》2018年第5期122-128,共7页Journal of Hainan Tropical Ocean University

摘　　要：首先对选取的七种质押式回购利率进行主成分分析,提取出两个主成分因子序列,并实证研究主成分因子与宏观因素居民消费价格指数(CPI)之间的相关性.然后,通过采用MATLAB编程的卡尔曼滤波法,对二因子Vasicek模型中的参数实施估计.最后,在国债市场中选取9只国债样本,利用二因子Vasicek模型的国债定价理论对其进行价格拟合,并采用误差修正模型进一步提高拟合精度.通过对同业拆借市场的利率变动进行研究,以期为金融机构的金融产品价格的确定和投资者的投资决策提供一定程度的参考.First of all,the principal component analysis was conducted on the selected seven pledged repo interest rates,extracting two principal component factors with empirical study on the correlation between the principal component factors and the macro factors—consumer price index（CPI）. Then,the parameters of the twofactor Vasicek model were estimated by using the Kalman filtering method of MATLAB programming. Finally,nine national debt samples were selected from the national debt market,the price of which was fitted by using the bond price theory of the two-factor Vasicek model. Meanwhile the error correction model was used to further improve the fitting accuracy. This paper studied the interest rate changes in the interbank lending market in order to provide a certain degree of reference for the financial institutions to determine the prices of financial products and for investors to make the investment decisions.

关 键 词：二因子Vasicek 卡尔曼滤波 国债定价 

分 类 号：F832.1[经济管理—金融学]