中国市场利率期限结构的静态估计

利率期限结构是资产定价、金融产品设计、保值和风险管理、套利以及投资等的基础。因此 ,对利率期限结构的估计是金融工程领域一个十分基础的工作。本文则是在这方面进行的一个尝试性研究工作。对利率期限结构的估计可以有许多方法 ,其中包括息票剥离法(bootstrapmethod)和样条估计法(splineapproximation)。本文则同时利用这两种方法对中国2001-2002的利率期限结构进行一个静态的估计 ,比较两种估计方法的静态估计结果并在此基础上分析中国利率期限结构的变化特征

Research on Monetary Policy

The term structure of interest rate is the founˉdation of Asset pricing,financial products design,hedging and risk management,arbitraging and Investment.For this reason,the estimation of term structure of interest rate is a fundamental research work in the field of financial engiˉneering.This paper is a trial on this subject.There exist many methods to estimate to term structure,which include the bootstrap method and spline approximation.This paper uses both methods to make a static approximation of term structure of interest rate in China from2001to2002,compares the static estimation results of two approximation methods,and then analyzes the dynamic change of term structure of interest rate in China.