一类均值随机跳跃型广义Vasicek模型

Generalized Vasicek model with stochastic jump mean

根据中国债券市场的特点构造一个新的利率模型.模型假定1年期储蓄存款利率服从跳跃过程,它决定了1年期市场利率的均值水平,并假定1年期市场利率是决定市场利率期限结构的另外一个状态变量,服从Vasicek模型.文中给出了该模型下市场利率期限结构的分析表达式,并以1998年至2007年的利率期限结构月度数据为样本,利用MCMC方法对模型进行了实证分析.模型能够很好地拟合市场利率期限结构样本观测值的均值,标准差,并能拟合偏度,峰度和序列相关性水平.

Based on Chinese bond market character,this paper proposes an interest rate model.It assumes that one-year deposit interest rate follows the pure jump process and determines the mean level of one-year market rate.One-year market rate is assumed as another state variable,and it follows a generalized Vasicek model.Closed-form solutions for market rates are obtained in the model.With monthly sample data during the period from 1998 to 2007,and using MCMC as estimation method the parameters of,the model are esti...