利率期限结构的参数估计方法

Parameter Estimation Methods of Chinese Term Structure of Interest Rate

利率期限结构是债券市场中最为重要的概念之一。利率期限结构的估计方法有很多,较常用的主要有息票剥离、样条估计和Nelsen-Siegel方法(包括改进的Nelsen-Siegel-Svennson方法等),NS(NSS)模型具有较好的实用性,在西方国家应用十分普遍,在中国则应用很少。通过利用NS和NSS模型来对中国利率期限结构进行静态估计,估计结果表明该方法具有很好的实用性。

The term structure of interest rate （TSIR） is one of the important topics in bond market. There are several methods to estimate TSIR, such as bootstrap method, spline approximation method and NS （NSS） model. NS（NSS） model has often been used to estimate TSIR in western countries for its applicability, which is few applied in our country. This essay estimates Chinese TSIR by NS and NSS models, the result shows those methods are very effective.