利率期限结构研究述评被引量：32

Term structure of interest rate:Selected literature review

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摘要对目前利率期限结构的研究状况进行一个评述性的研究,从5个方面介绍和分析了国内外有关利率期限结构的研究.这5个方面包括:利率期限结构形成假设;利率期限结构静态估计;利率期限结构自身形态的微观分析;利率期限结构动态模型;利率期限结构动态模型的实证检验.在文献回顾的基础上,还对利率期限结构未来的研究方向进行了探讨. This paper did a research review of interest rate term structure from five aspects. These aspects are： hypothesis on formation of term structure; static estimation of term structure, microanalysis on the shape of term structure, dynamic models of term structure, and the empirical tests of dynamic models. Based on these review, this paper discussed some future research for the term structure of interest rate.

作者林海郑振龙

机构地区厦门大学金融系

出处《管理科学学报》 CSSCI 北大核心 2007年第1期79-93,98,共16页 Journal of Management Sciences in China

基金教育部优秀青年教师资助计划资助项目教育部人文社会科学研究2003年度博士点基金研究项目(03JB790016) 福建省社科"十五"规划(第二期)资助项目(2003B069) 厦门大学王亚南经济研究院青年科研资助计划的资助项目

关键词利率期限结构研究述评静态估计动态模型实证检验 term structure of interest rate literature review static estimation dynamic model empirical research

分类号 F8 [经济管理]

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参考文献111

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二级参考文献66

1杨大楷,王欢.国债利率结构的动态分析与思考[J].统计与信息论坛,1999,14(3):17-21. 被引量：1
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