| 基于参数模型的利率期限结构估计的实证 |
| |
| 引用本文： | 闵晓平,田澎.基于参数模型的利率期限结构估计的实证[J].哈尔滨工业大学学报,2009,41(6):239-242. |
| |
| 作者姓名： | 闵晓平 田澎 |
| |
| 作者单位： | 闵晓平,MIN Xiao-ping(江西财经大学,金融学院,南昌,330013);田澎,TIAN Peng(上海交通大学,安泰经济与管理学院,上海,200052) |
| |
| 基金项目： | 江西财经大学校级课题 |
| |
| 摘 要： | 为了获得我国利率期限结构估计的可靠模型,对已有的经典模型进行实证检验.选用1997年6月至2004年10月上证所国债市场的月度数据,对利率期限结构估计参数模型中的Nelson-Siegel模型(NS模型)和Svensson模型(SV模型)进行了似然比检验、样本内和样本外的分组拟合优度检验.检验结果表明,NS模型比SV模型更适合于上证所的利率期限结构估计;上证所利率期限结构在1～10a期限期间尤其是5～7a期限期间能够获得可靠的估计;在0～1a和10～20a期限期间估计的可靠性不高.
|
| 关 键 词： | 上证所 利率期限结构 估计 NS模型 SV模型 |
Empirical study on estimating the term structure of interest rates based on parametric model |
| |
| MIN Xiao-ping,TIAN Peng.Empirical study on estimating the term structure of interest rates based on parametric model[J].Journal of Harbin Institute of Technology,2009,41(6):239-242. |
| |
| Authors: | MIN Xiao-ping TIAN Peng |
| |
| Affiliation: | 1.School of Finance,Jiangxi University of Finance and Economics,Nanchang 330013,China,2.School of Antai College of Economics & Management,Shanghai Jiao Tong University,Shanghai 200052,China) |
| |
| Abstract: | In order to obtain a reliable model to estimate the term structure of interest rates in China,classic models are empirically tested. Nelson and Siegel model (NS model) and Svensson model (SV model) belonging to parametric model for the estimation of the term structure of interest rates are analyzed with likelihood ratio test and in-sample and out-of-sample grouped goodness-of-fit test,using monthly data of government bond in Shanghai Stock Exchange from June in 1997 to October in 2004. The results show that NS model is superior to SV model in estimating the term structure of interest rates in Shanghai Stock Exchange;the estimation between 1 and 10 years,especially between 5 and 7 years,is credible;the estimation beyond maturities above is doubtful. |
| |
| Keywords: | Shanghai Stock Exchange term structure of interest rates estimation NS mdel SV model |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
|
