中国利率期限结构研究.docVIP

中国利率期限结构研究 一种新的实证方法 研究领域：金融学 王安兴 上海财经大学金融学院 上海国定路777号 邮政编码：200433 电话：021电邮: awang@mail.shufe.edu.cn 摘要 本文提出了一个新的估计利率模型的方法，并应用这个方法估计中国利率模型 。这个方法在Vasicek (1977)利率模型框架下估计利率期限结构。用这个方法估计利率模型，可以同时得到利率风险的市场价格的估计。 在本文的实证研究中，有三个发现：一、利率风险的市场价格为零；二、利率期限结构向下方倾斜；三、在不同样本期两个零息票国债的到期收益率（及价格）行为不同，储蓄利率对国债价格有重要影响，特别是当国债很快就要到期时。 关键词: 利率期限结构，实证方法，利率风险的市场价格 Studies of Chinese Term Structure A New Empirical Approach Anxing Wang School of Finance Shanghai University of Finance and Economics 777 Guoding Road Shanghai 200433 Email?: awang@mail.shufe.edu.cn Tel?: (021)(Office) Abstract A new approach for estimating model of interest rate is proposed in this paper and it is applied to estimate Chinese term structure. My approach for estimating term structure follows the analytic framework proposed by Vasicek (1977). When my approach is used, an estimation of market prices of interest-rate risk can be obtained as well. There are three interesting findings in my empirical studies. The first one is that market price of interest-rate risk is zero. The second is that the term structure of interest rate is downward sloping and shifts downwards as well. The third is that the performances of the yields to maturities (and the prices) of the two zero-coupon bonds are different for different periods. Saving (and loan) rates of interest, which are determined by the government, may have important influence on bond prices, or yields to maturity of bonds, especially if maturity date of the bond is in the near future. Keywords: term structure, empirical approach, market price of interest-rate risk 导言：利率模型估计方法与中国利率模型估计 目前，广泛使用的利率模型的估计方法主要有均衡模型方法、利率期限结构一致模型标定方法、技术方法。另外，还可以利用利率风险的市场价格估计利率模型。 1.1 均衡模型方法 从1977年起，有许多文献估计利率模型，例如 Vasicek (1977)， Dothan (1978)， Courtadon (1982)，和 Cox, Ingersoll, and Ross (1985)。为获得利率期限结构，首先应用标准计量经济学模型估计瞬时利率模型的参数，然后由利率模型导出利率期限结构。Brown and Dybvig (1986)利用美国月度国库券数据估计了单因素CIR模型Chan, Karolyi, Longstaff, and Sanders (1992)实证比较各种瞬时利率模型；Stanton (1997)提出新的方法，认为利率风险的市场价格是非线性