我国利率期限结构无套利均衡分析的实证研究

An Empirical Study on the No-arbitrage Equilibrium to the Analysis of Term Structure of Interest Rate in China

利率期限结构的估计主要有两种分析方法:回归分析方法和无套利分析方法。利用我国上交所国债数据,选用参数模型比较分析了CS模型和AFG模型、AFSV模型的利率预测能力,结果发现AFG模型、AFSV模型对利率期限结构的三因子拟合效果优于CS模型,嵌入动态无套利分析的利率预测模型会产生整体更小的偏差。

There are two main analysis methods to estimate the term structure of interest rates ： regres- sion analysis and no-arbitrage analysis. Using China＇ s SSE debt data and selecting parameter models, this paper does comparative analysis on the CS model（ allowing arbitrage opportunities）, and the pre- dictive power of interest rates of AFG model, AFSV model （ excluding arbitrage opportunities）. The results show that the three-factor fitting effects of AFG model, AFSV model on the term of interest rate are superior to those of CS model, and the model, which is embedded in the analysis of the dynamic no-arbitrage, has a smaller overall error of interest rate predicting ability.