交易所利率期限结构估计模型的比较

结合我国利率体系和利率的形成机制,提出一个适合交易所利率期限结构估计的N S扩展模型,然后采用交易所国债市场的日交易数据,对N S扩展模型、N elson-S iegel(N S)模型和Svensson(SV)模型进行了样本内、外的比较实证分析。结果表明,N S扩展模型比N S模型和SV模型更适合于交易所的利率期限结构估计,交易所利率期限结构在1~10年期间,尤其是5~7年期间能够获得可靠的估计,在0~1年和10~20年期限期间估计的可靠性不高。

A Comparison of the Estimation of the Term Structure of Interest Rates of Stock Exchange

This paper first put forward a NS extension model to estimate the term structure of interest rates of stock exchange,considering the determination mechanism of the interest rates in China,then compared it with Nelson-Siegel(NS) model and Svensson(SV) model using daily Shanghai Stock Exchange government bond data.In-sample and out-of-sample statistics reveal that NS extension model is superior to NS model and SV model in estimating Shanghai Stock Exchange term structure of interest rates;the estimation between 1 and 10 years,especially between 5 and 7 years,is credible;the estimation beyond maturities above is doubtful.