| 基于Nelson—Siegel模型的我国利率期限结构的构建 |
| |
| 引用本文： | 李耀,赵银.基于Nelson—Siegel模型的我国利率期限结构的构建[J].内蒙古财经学院学报,2014(6):36-44. |
| |
| 作者姓名： | 李耀 赵银 |
| |
| 作者单位： | 电子科技大学经济与管理学院,四川 成都,610054 |
| |
| 摘 要： | 利率问题一直都是经济金融研究中最基础、最核心的问题。利率可以反映出资金的供求状况，并受到物价水平、经济周期和预期等的影响。本文基于中国银行间债券市场的交易数据，利用基于贝叶斯推断的马尔科夫链蒙特卡罗模拟（MCMC）方法估计Hautsch＆Ou（2008）提出的动态的Nelson—Siegel模型，以构建我国的利率期限结构模型。
|
| 关 键 词： | 利率期限结构 Nelson—Siegel模型 MCMC算法 |
Construction of Chinese Term Structure of Interest Rate Based on the Nelson-Siegel Model |
| |
| LI Yao,ZHAO Yin.Construction of Chinese Term Structure of Interest Rate Based on the Nelson-Siegel Model[J].Journal of Inner Mongolia Finance and Economics College,2014(6):36-44. |
| |
| Authors: | LI Yao ZHAO Yin |
| |
| Institution: | ( School of Management and Economics, University of Electronic Science and Technology of China, Chengdu 610054, China} |
| |
| Abstract: | Interest rate issue has always been the most basic and core issue in economic and financial research. it can reflect supply and demand conditions of Funds, and be affected by the price level, business cycle and antici- pation. Based on Trading data of China~ interbank bond market, we use Bayesian inference based on Markov chain Monte Carlo simulation （2008） proposed, and （MCMC） method to estimate the dynamic Nelson- Siegel model that Hautsch ＆ Ou we will have built our country~ model of term structure of interest rate. |
| |
| Keywords: | term structure of interest rate Nelson - Siegel model MCMCalgorithm |
| 本文献已被 维普 万方数据 等数据库收录！ |
