中国利率动态模型研究.pdfVIP

中国利率动态模型研究 Dynamic Behavior of Interest Rates in China 林海 郑振龙 （厦门大学金融系，361005 ） 内容提要：本文对中国两种高度相关的利率的动态行为进行了考察和分析。第一种利率 是政府利率，由中央银行决定和颁布，可以用一个单纯的可变波动率跳跃过程进行描述。我 们给出了跳跃强度的估计，并且通过不同的检验证明它是稳定可靠的。跳跃幅度能够满足确 保利率有合理范围的条件，并且体现出一定的经济周期内涵。第二种利率根据政府债券的交 易价格利用样条估计法计算的市场利率对市场利率的两个模型，Vasicek 模型和CIR 模型， 进行了实证上的比较。检验结果表明简单的Vasicek 模型表现最好。本文还对由于单位根问 题引起的估计偏误问题进行了分析，一般方法和GPH 方法都无法拒绝单位根假设。 关键词：利率 动态行为 跳跃过程 均值回归 单位根过程 Abstract: This paper examines intuitively the dynamic behavior of two highly relevant kinds of interest rate in China. The first one is the government rate, which is decided and published by the central bank and can be simulated by pure jump process. Estimation of the jump intension is given out, and by different robustness test, it keeps stable. The jump size has met the condition to make interest rate within reasonable bounds and shows some meaning of economic cycle behavior. The second one is the market rate, which is estimated by spline approximation based on the transaction data of government bonds. Vasicek model and CIR model are empirically tested and the best performance is done by the simple Vasicek model. Furthermore, the estimate bias problem due to the near unit root process is tested and evidenced by both traditional methods and GPH test. Key Words: Interest Rate ，Dynamic Behavior, Jump Process, Mean Reversion, Unit Root Process Second Draft Comments are welcome! Zlzheng@ June 18, 2003 1 利率问题一直是金融研究的一个焦点问题。从Vasicek(1977)和Cox, Ingersoll and Ross (CIR (1985a,b))起，大量复杂的模型不