| 基于单因子利率期限结构模型的中国银行间短期利率行为的实证研究 |
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| 作者单位： | 北京农村商业银行 北京100034 |
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| 摘 要： | 文章采用高斯估计方法,使用中国银行间债券市场国债短期利率数据,对单因子连续时间利率期限结构模型进行了参数估计,实证结果显示我国银行间国债市场的短期利率具有均值恢复特性。和其它模型相比,BS模型在数据拟合方面表现较好。
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| 关 键 词： | 连续时间模型 短期利率 高斯估计 |
Empirical Evidence on One-factor Model of Short-term Inter-bank Interest Rates of China |
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| LU Zhao-you. Empirical Evidence on One-factor Model of Short-term Inter-bank Interest Rates of China[J]. International Business, 2007, 0(1) |
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| Authors: | LU Zhao-you |
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| Affiliation: | LU Zhao-you |
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| Abstract: | This paper uses Gaussian estimation methodology and the data of short inter-bank interest rates of China to estimate the continuous time one-factor term structure model of interest rates. As a result, the short inter-bank rate of China has the character of mean-reversion. At the same time, the BS model is superior to the other formulations in terms of data fit. |
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| Keywords: | Continuous time models Short term interest rate Gaussian estimation |
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