ckls_jum新精品p过程驱动的利率动态模型_理论估计与实证模拟.pdf

CK LSJ U M P 过程驱动的利率动态模型: 理论估计与实证模拟 151 CKLSJUMP 过程驱动的利率动态模型: 理论估计与实证模拟 刘凤琴 王凯娟 ( 浙江财经学院) 利率期限结构动态模式研究已经成为现代金融 域的 一个研究热点, 而跳跃扩散过程已经成为模拟存贷款利率最为有效的动态模型本文主要以商业银 行存贷款利率为对象, 研究分析利率期限结构的动态变化过程首先基于存贷款利 率的变化特征, 建立利率的CK LSJU M P 跳跃扩散模型; 其次, 运用马尔科夫链 蒙特卡罗模拟方法 ( M CM C) 对其参数进行理论估计; 最后, 以我国商业银行五 年期存贷款利率为例进行实证模拟研究结论认为: CK L SJU M P 模型更加符合我 国存贷款利率动态行为; 同时M CM C 方法比传统估计方法更加准确 存贷款利率 利率期限结构 CK LSJU M P 模型 M CM C 方法 F 273 A Theoretical Estimation and Empirical Simulation for Interest Rate Dynamic Models Dri en by the CKLSJUMP Process Abstract: Studies on dynamic model or int erest rat e term st ruct ure beco me re search t opic o modern inanceF urther, jumpdi usion pr ocesses becom e the mo st e ective dy namic m odels or simulating deposit and lend int er est r at eIn t his paper, choosing deposit and lend int erest r at e or bu siness banks as o bject s, w e analyze and explore dynamic pro cess or int erest rate t erm st ruct ur eF irst ly , based on t he main eat ure, w e set CKL SJU M P mo del or deposit and lend int erest rateSecondly, w e est imat e paramet ers o t he model by using MCM CL ast ly, tak ing 5 years deposit and lend interest rat e ex am ples, w e make an empirical simula t ionConclu sio ns o the research are: t he CK L SJU MP mo del co n orm s mo re to t he dynamic behavior o o ur depo sit and lending rates ; M CM C met hod g ives a superior est im at ion o n paramet ers o the jump di u sion m odel, w it h m ore complet e and ac cur at e result s Key words: Depo sit and L end Int erest Rat