CKLS框架下短期利率模型比较分析.pdfVIP

山/ 西/ 财/ 经/ 大/ 学/ 学/ 报 2007 4 Journal of ShanXi Finance and Economics University Apr . , 2007 29 4 Vol. 29 No. 4 CKLS 框架下短期利率模型的比较分析 赵静娴, 詹原瑞 ( 天津大学 管理学院, 天津300072) [ ] 在CKLS 框架下, 采用GMM 估计 法, 使用我国银行间同业拆借市场国债回购市场和交易所国债回购市场上 的利率数据, 对各短期连续时间利率模型进行了参数估计和模型比较实证结果表明, 我国三 个市场上的利率波动存在极为 显著的均值回复特征就模型对短期利率变化的解释能力和捕捉利率波动的能力而言, 各模型也存在着显著的差异 [ ] CKLS 框架; 利率模型; GMM 法; 条件波动性; 均值回复 [ ] F832 [ ] A [ ] 1007- 9556( 2007) 04- 0097- 07 Comparison of Alternative Models of Short- Term Interest Rate under CKLS Framework ZHAO Jin - xian, ZHAN Yuan- rui ( School of Mana ement,T ianjin University,T ianjin 300072, China) Abstract:Under CKLS models framework, the paper, accordin to the three seven- day interest rate data daily time series of China s in ter- bank offer market, inter - bank bond redemption market and Shan hai Stock Exchan e s bond redemption market, adopts eneralized method of moments usin the pro rams of the Matlab to estimate each time continuous short- term interest rate models parameters and com pare them.The empirical results show that a very evident reversion interest rate exists in our countrys three markets. As to the ability for ex planatory power of short- term interest rate and that for capturin conditional volatility, there are remarkably differences amon each model. Ke Words:CKLS Framework; Interest Rate model; GMM Method; Conditional Volatility; Mean Reversion , , , , , , , Merton[ 1] , Vasicek[2] , Dothan[3] , CoxIn ersoll Ross[4- 5] ( CIR) , Brennan Schwartz[6] ChanKaroliLon staff Saunders[ 8] ( Lon staff Schwartz[ 7] CKLS ) , , ( instantaneous interest