摘要
本文以上海证券交易所国债回购市场的7天期回购利率为分析对象,选择从2000年1月4日到2005年12月13日的每日数据为样本,采用有效矩估计对三个在国外文献中流行的利率模型:CKLS模型、SV2模型、SV3模型进行实证分析。结果表明单因子CKLS模型不能很好的刻画我国短期利率的动态特征,SV2模型和SV3模型则可以较好的描述短期利率的动态变化过程。同时,受制于利率市场化问题,我国短期利率的水平效应较之于美国弱很多。
With daily data of 7-day repo rates in Shanghai Stock Exchange from January 2000 to December 2005, the popular interest rate models, one-factor CKLS model, two-factor and three-factor stochastic volatility models, are employed to determine the best fitting for the volatility dynamics of short-term interest rates in China. It is found that two-factor stochastic volatility model, three-factor stochastic volatility model can well explain the salient features of the short term interest rates. Due to the insufficient marketization, the level effect of Chinese short term interest rates is weaker than that of American rate.
出处
《南方经济》
北大核心
2007年第4期45-55,共11页
South China Journal of Economics
关键词
回购利率
SNP
EMM
CKLS
随机波动
Repo Rates
Semi-Nonparametric Method
Efficient Method of Moments
CKLS
Stochastic Volatility
