摘要
本文详细介绍了利率期限结构的理论模型,运用全新的计量经济学方法 -广义矩估计法,使用MATLAB软件,应用CIR模型和CKls模型对我国同业拆借市场短期利率进行了实证分析,实证结果表明,与CKls相比,CIR能够更准确的刻画我国银行间同业拆借利率的变动路径。
This paper gives a comprehensive introduction to the term structure of interest rates.In this paper we introduce the generalized method of moments using the programs of the matlab, put up an empirical analysis to China＆#39;s inter-bank lending market interest rates based on the CIR model and CKls model, and make the conclusion that CIR can simulate the inter-bank lending mar-ket interest rates better.
出处
《安庆师范学院学报（自然科学版）》
2015年第2期22-25,共4页
Journal of Anqing Teachers College(Natural Science Edition)
