基于动态Nelson-Siegel模型的利率期限结构预期理论检验被引量：18

Test of Expectation Theory of the Term Structure in China Interbank Market

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摘要本文采用动态Nelson-Siegel模型拟合中国银行间市场国债收益率曲线,采用卡尔曼滤波方法估计模型参数,以此为基础对短期利率的预期值进行预测,并对利率期限结构进行直接检验。检验结果表明,期限为1、3、5、7、10年的债券到期收益率不服从预期理论。 The paper conduct an empirical study to test the validity of expectation theory （EH） of term structure in China interbank market. After building and estimating a dynamic Nelson-Siegel model with a state space form by ML based on Kalman filer, the paper forecasts the expected short - term rates by the model and gets the estimation of yields implied by EH. Regressions of real yields on the yields implied by EH show that the real term structure is not consistent with EH in China interbank market.

作者沈根祥

机构地区上海财经大学经济学院

出处《上海经济研究》 CSSCI 北大核心 2010年第4期39-44,共6页 Shanghai Journal of Economics

关键词预期理论 NELSON-SIEGEL模型卡尔曼滤波 Expectation Theory Nelson-Siegel Model Kalman Filter

分类号 F830.48 [经济管理—金融学]

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参考文献9

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