我国动态利率期限结构的实证分析-广义矩方法

Empirical Analysis of Dynamic Interest Rate Term Structure Based on GMM

本文结合了我国当前利率风险管理的实际情况,采用了较为合适的模型参数估计方法 -GMM方法,用最新的一日银行间回购利率,分别对Vacicek,CIR和Ckls三个模型进行了实证。另外,运用时效性原则处理了瞬时利率替代变量问题,最终采用了最新的一日银行间回购利率进行拟合,得出了Vacicek模型能更好的解释我国短期利率的结论。

Based on China＇ s current interest rate risk management situation, and according to the three famous models such as Vasicek, CIR and Ckls in dynamic interest term structure, this paper uses GMM to empirically analyze the interest term structure in China. At the same time, this paper chooses substitute variable of spot interest, on the basis of summarizing other research resuit. The author finally applies the new buyback interest of bank in one day, and concludes that Vacicek model can explain the short interest better in china.