利率期限结构的主成分分析

Principal components analysis of the term structure of interest rates

本文采用主成分分析的方法对我国的利率期限结构进行了研究。在采用这种方法的同时,结合非线性变换BOX—COX得出了我国的利率期限结构具有代表性的三个主成分:利率期限结构曲线的平移、斜率的变化以及曲率的变化。同时通过实证分析证实了这种方法的有效性。

This paper analyzes principal components constructing the term structure of interest rates in China. Using non-linear BOX—COX transform under principal components analysis method ,it is found that there are three typical main components,which are the parallel movement of the entire yield curve,the change in the slope of the curve and the change in the curvature of the curve .The empirical study confirms the efficiency of the method.