| 国债利率期限结构模型动态建模实证研究 |
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| 引用本文： | 曾黎.国债利率期限结构模型动态建模实证研究[J].中国西部科技,2011(31):16-17,10. |
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| 作者姓名： | 曾黎 |
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| 作者单位： | 红河学院数学学院; |
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| 基金项目： | 红河学院博士、硕士科研启动项目(XJ1S0923) |
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| 摘 要： | 本文通过对利率稳定的2004年11月至2006年7月和利率调整频繁的2006年9月至2010年12月这两段时期上海证券交易所国债的交易数据,运用Vasicek和Nelson-Siegel-Svensson利率期限结构模型进行了国债定价的实证分析。结果表明,这两种模型在利率没有变化时期对国债收益率曲线的拟合效果都好于利率调整频繁的时期。Nelson-Siegel-Svensson模型在利率稳定时期对国债的定价比Vasicek模型准确,而在利率调整频繁时期则应该使用Vasicek模型对国债进行定价。
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| 关 键 词： | 即期利率 利率期限结构 国债定价 |
An Empirical Research on Dynamic Modeling for Term Structure Model of Bond Interest Rate |
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| ZENG Li.An Empirical Research on Dynamic Modeling for Term Structure Model of Bond Interest Rate[J].Science and Technology of West China,2011(31):16-17,10. |
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| Authors: | ZENG Li |
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| Institution: | ZENG Li(Department of mathematics,Honghe University,Mengzi,Yunnan 661100) |
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| Abstract: | This paper used Vasicek and Nelson-Siegel-Svensson interest rate term structure model to compare the bonds pricing in Shanghai Stock Exchange from November 2004 to July 2006,during which the interest rate almost no adjustment,and from September 2006 to December 2010,during which the interest rate adjusted frequently.The result suggested that both models performed better during the time of no rate adjustment than that of rate adjusting frequently.In bond pricing,Nelson-Siegel-Svensson model for interest rate... |
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| Keywords: | Spot interest rate Interest rate term structure The pricing of bond |
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