中国货币市场短期利率的CIR模型及其参数估计的期望方差法

CIR Model for Short-Term Interest Rates in the Chinese Money Market and Parameter Estimation Using the Expectation-Variance Method

为了研究中国货币市场短期利率的动态规律,本文用CIR模型对瞬时利率的演化过程建模。对于模型中存在的未知参数,采用期望方差法建立估计量;并进一步选取银行间质押式7天回购利率(R007)数据作为瞬时利率的近似替代,得到CIR模型中参数的估计值;最终借助CIR模型给出中国货币市场短期利率的动态变化规律。

This paper presents the CIR model for the evolution of instantaneous interest rates to investigate the dynamic patterns of short-term interest rates in the Chinese money market. For unknown pa-rameters in the model, the expectation-variance method is applied to give their estimators. Fur-thermore, we select the interbank pledge 7-day repo rate (R007) data as an approximate substitute for instantaneous interest rates, obtaining estimates for the parameters in the CIR model. Ulti-mately, with the assistance of the CIR model, we elucidate the dynamic change rule of short-term interest rates in the Chinese money market.