利率期限结构:理论、模型和实证

The Term Structure of Interest Rates: Theories, Models and Positiveness

本文简要阐述了利率期限结构理论,并分析比较了均衡模型与无套利机会模型、单因子模型和多因子模型的主要特征,最后,利用银行间国债市场1周、2周和4周国债回购利率进行回归得到三个瓦西塞克随机利率期限结构模型,指出了完善中国国债市场的思路。

This article concisely illuminates some theories about the term structure of interest rates. It analyses and compares the major characteristics of the equilibrium models and the arbitrage-free models, one-factor models and multi-factor models of term structure of rates. Then the one-week, two-week and four-week repurchase rates of government bonds are regressed to get three Vasicek stochastic models. At last this paper provides some ways to im-prove government bonds market.