摘要
本文提出了一个新的估计利率模型的方法,并应用这个方法估计中国利率模型。这个方法在Vasicek(1977)利率模型框架下估计利率期限结构。用这个方法估计利率模型,可以同时得到利率风险的市场价格的估计。在本文的实证研究中,有3个结论:1.利率风险的市场价格为零;2.利率期限结构向下方倾斜;3.在不同样本期两个零息票国债的到期收益率(及价格)行为不同,储蓄利率对国债价格有重要影响,特别是当国债很快就要到期时。
A new approach for estimating model of interest rate is proposed in this paper and it is applied to estimate Chinese term structure. My approach for estimating term structure follows the analytic framework proposed by Vasicek （1977）. When my approach is used, an estimation of market prices of interest-rate risk can be obtained as well. There are three interesting findings in my empirical studies. The first one is that the market price of interest-rate risk is zero. The second is that the term structure of interest rate is downward sloping and shifts downwards as well. The third is that the performances of the yields to maturities （and the prices） of the two zero-coupon bonds are different for different periods. Saving （and loan） rates of interest, which are determined by the government, may have important influence on bond prices, or yields to maturity of bonds, especially if maturity date of the bond is in the near future.
出处
《上海财经大学学报》
2005年第4期23-29,共7页
Journal of Shanghai University of Finance and Economics
