利率模型的动态估计

The Estimation of Interest Model

利率模型主要用来描述利率的动态行为,迄今为止大多数利率模型都是在CKLS框架之下进行的实证研究。这一模型主要表现为两点不足:一是模型漂移假定为利率水平的线性形式,二是短期利率的波动性假定为利率水平的函数,这两个假定都与实际不符,直接在这一框架下描述我国利率的变动显然是不合适的。文章尝试提出一个新的利率模型,这一模型既考虑了利率变动的非线性特征,又考虑了波动率,结果表明该模型能够较好地描述我国利率变动特征,对我国市场利率的动态行为具有较好的解释力。

Interest rate models are used to explain the dynamic of interest rate, up to now, many empirical models is on the base of CKLS model. The CKLS model has two main defects： one is that assume the drift is linear; another is about the volatility＇ s assumptions which don＇t conform to reality. It is improper to make use it directly to describe the fluctuation of interest rate of China because of its drawback. This essay puts for-ward a new model, the result shows it does well in explaining the variation character of interest rate.