利率期限结构的三因子高斯动态模型及应用

doi:10.16381/j.cnki.issn1003-207x.2015.05.002

Abstract

Abstract: Domestic literature mainly focus on the application of affine model to term structure of interest rate, and few attentions are paid to Gaussian Dynamic Term Structure Model (GDTSM). Based on the JSZ normalization, a new three-factor GDTSM is proposed, and maximum likelihood estimator is used to estimate the parameters. Using the three-factor GDTSM, the term structure of Shanghai Inter Bank Offered Rate (SHIBOR) market from January 4, 2008 to April 28, 2012 is analyzed, and then its internal structure features is discussed by decomposing the corresponding error terms. The results show that: (1) the three-factor GDTSM fit and forecast the SHIBOR market very well; (2) the level and slope factors affect the short-term interest rates, and the curvature factor explains the long-term interest rate. As the basic technology for empirical researches on rate term structure, the three-factor GDTSM could be applied in national debt and derivatives pricing and risk management.

Key words: term structure of interest rate, three-factor GDTSM, maximum likelihood estimator, SHIBOR market

CLC Number:

F830.9

LUO Xiao-ling, HUANG Ling-ying, CHEN Xiao-hong. Three-factor Gaussian Dynamic Model for Term Structure of Interest Rate: An Application to the SHIBOR Market[J]. Chinese Journal of Management Science, 2015, 23(5): 7-13.

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Three-factor Gaussian Dynamic Model for Term Structure of Interest Rate: An Application to the SHIBOR Market

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