随机均值短期利率期限结构模型与均衡

Stochastic Mean-Value Term Structure Model of Short-Term Interest Rate and Equilibrium

介绍了Tice和Webber给出的一类多因子随机均值短期利率期限结构模型·通过引入仿射变换函数,把相应的期限结构模型推广为仿射的多因子期限结构模型,使期限结构模型的适用范围更加广泛·并证明了扩展到开放经济条件下的宏观经济均衡模型(IS LM BP)是一族仿射的三因子随机均值短期利率期限结构模型的特例·此结果不仅给出了随机均值短期利率期限结构模型的一种经济解释,而且也说明了通过随机均值短期利率期限结构模型可以解决一系列的宏观经济问题·

Introduces the multifactor stochastic mean-value term stucture models of short-term interest rate, as the joint work by Tice and Webber. Taking the models as basis and extending relevant term structure to be a multifactor affine stochastic term model through the introduction of an affine transformation function, its applicable scope is widened further. It is proved that the macroscopic economy mean model(IS-LM-BP) under condition of opening economy is just a particular case of the three-factor affine stochastic mean-value term structure models of short-term interest rate. The results not only give economically an explanation of the stochastic mean-value term structure models of short-term interest rate, but also point out that the models can solve a series of macroscopic economic problems.