两因子CIR模型对银行间国债利率期限结构的实证研究
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摘要
利率作为资金的价格,它的水平应该由市场所决定。近年来,随着中国利率市场化的快速发展,利率研究的现实意义变得越来越重要。利率期限结构模型的研究对于利率的确定和应用具有非常重要的现实意义。利率期限结构表示不同的债券期限所对应的利率水平,从一定的角度反映了资本市场和货币市场的资金供求水平。首先通过Svensson模型得出七种不同期限的即期利率。然后,将七种不同期限的利率应用于单因子CIR模型和两因子CIR模型的参数估计。最后,对拟合出的利率期限结构模型进行国债定价。通过实证研究得出两因子CIR模型的国债定价效果比较理想。
As the price of funds,the level of the interest rate should be determined by the market. In recent years,with the rapid development of China's interest rate marketization,the practical significance of interest rate research has become more and more important. The study of the term structure model of interest rates has a very important practical significance for the determination and application of interest rates. The term structure of interest rate represents the interest rate level corresponding to different bond maturities. It reflects the capital supply and demand level of capital market and money market from a certain angle. First of all,the immediate interest rate of seven different maturities is obtained through the Svensson model. Then,the interest rates of seven different periods are applied to the parameter estimation of the single factor CIR model and the two factor CIR model. Finally,the model of the term structure of the interest rate is priced. Through the empirical study,it is concluded that the two factor CIR model has an ideal effect on the pricing of national debt.
As the price of funds,the level of the interest rate should be determined by the market. In recent years,with the rapid development of China's interest rate marketization,the practical significance of interest rate research has become more and more important. The study of the term structure model of interest rates has a very important practical significance for the determination and application of interest rates. The term structure of interest rate represents the interest rate level corresponding to different bond maturities. It reflects the capital supply and demand level of capital market and money market from a certain angle. First of all,the immediate interest rate of seven different maturities is obtained through the Svensson model. Then,the interest rates of seven different periods are applied to the parameter estimation of the single factor CIR model and the two factor CIR model. Finally,the model of the term structure of the interest rate is priced. Through the empirical study,it is concluded that the two factor CIR model has an ideal effect on the pricing of national debt.
引文
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[6]黄德权,苏国强.基于Nelson-Siegel模型的中国利率期限结构实证研究[J].金融理论与实践,2016(5):12-17.
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[8]沈根祥,陈映洲.双斜率因子动态Nelson-Siegel利率期限结构模型及其应用[J].中国管理科学,2015(10):1-10.
[9]谭海波.我国上市公司股利政策的探讨[J].攀枝花学院学报,2010,27(1):58-62.
[2]Svensson L.E.1994.Estimating and Interpreting Forward Interest Rates:Sweden 1992-1994[R],CEPR Discussion Paper Series,No.4871.1994.
[3]Merton,R.Theory of Rational Option Pricing,Bell Journal of Economics and Management Science,1973,4:141-183.
[4]Cox,J.C.,Ingersoll,J.E.and Ross,S.A.An Intertemporal General Equilibrium Model of Asset Prices,Econometrica,1985a,(53):363-384.
[5]李雪.基于Vasicek模型的我国同业拆借利率期限结构静态研究[J].中央财经大学学报,2015(s2):3-9.
[6]黄德权,苏国强.基于Nelson-Siegel模型的中国利率期限结构实证研究[J].金融理论与实践,2016(5):12-17.
[7]鲁波.中国银行间国债利率期限结构实证研究[D].杭州:浙江财经大学,2016.
[8]沈根祥,陈映洲.双斜率因子动态Nelson-Siegel利率期限结构模型及其应用[J].中国管理科学,2015(10):1-10.
[9]谭海波.我国上市公司股利政策的探讨[J].攀枝花学院学报,2010,27(1):58-62.