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文章首次应用跳-扩散形式的隐含状态变量研究我国市场利率期限结构,构建了一个两因子同时跳跃动的vasicek利率期限结构模型,给出了市场利率期限结构的近似解析表达式,以2005~2012年期间上交所国债即期利率周度数据为样本,用MCMC方法对模型进行实证分析。结果发现所有期限的国债即期利率平均9周整体跳跃一次,并发现该模型相比传统的两因子利率期限结构模型能更好地拟合上交所国债即期收益曲线。
The article first applies the implicit state variable of jump-diffusion form to study the term structure of the market interest rate in China, constructs a two-factor vasicek term structure model of interest rate jump, and gives an approximate analytic expression of the term structure of the market interest rate. During the period of 2012, the weekly data of the spot interest rate of government bonds in Shanghai Stock Exchange was taken as a sample, and the model was analyzed by the MCMC method. The result shows that the spot interest rate of all the bonds matures an average of 9 weeks in all periods and finds that this model can better fit the spot yield curve of Shanghai Stock Exchange with the traditional two-factor term structure model.