| 基于N-S模型的随机利率因素分析 |
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| 引用本文： | 侯丽英,董继学,刘振忠. 基于N-S模型的随机利率因素分析[J]. 哈尔滨师范大学自然科学学报, 2009, 25(3): 61-64,83 |
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| 作者姓名： | 侯丽英 董继学 刘振忠 |
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| 作者单位： | 黑龙江八一农垦大学;黑龙江八一农垦大学;黑龙江八一农垦大学 |
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| 基金项目： | 黑龙江省教育厅科学技术面上项目(111511259);;黑龙江八一农垦大学引进人才科研启动基金(S2005-058) |
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| 摘 要： | 在息票效应调整前提下,推导了N-S模型的参数估计方法,并对上交所国债市场数据进行拟舍,得到N-S模型参数及利率期限结构曲线．在此基础上,应用主成分分析方法研究我国国债即期利率曲线变动的动态特征,发现水平、斜度和凸度是影响利率曲线变动的三个主要因素．
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| 关 键 词： | 随机利率 N-S模型 主成分分析 |
MULTI-FACTORS ANALYSIS OF STOCHASTIC INTEREST RATES BASED ON THE N-S MODEL |
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| Hou Liying,Dong Jixue,Liu Zhenzhong. MULTI-FACTORS ANALYSIS OF STOCHASTIC INTEREST RATES BASED ON THE N-S MODEL[J]. Natural Science Journal of Harbin Normal University, 2009, 25(3): 61-64,83 |
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| Authors: | Hou Liying Dong Jixue Liu Zhenzhong |
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| Affiliation: | Heilongjiang August First Land Reclamation Agricultion University |
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| Abstract: | This paper has got parametric estimated means of N-S model under the pre-condition of the coupon adjustment.By using the data of Shanghai stock exchange,we estimate the parameters of N-S model and the bond's term structure curves.By using principal component analysis method to study the factors governing the variation feature of bond's spot rates curve,we frind that the level,slope and curature are three primary fctors effecting the variation of yield curve. |
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| Keywords: | Stochastic interest rates Nelson-Siegel model Principal component analysis |
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