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Chinese Journal of Management Science ›› 2002, Vol. ›› Issue (3): 22-25.

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An Empirical Analysis of the Interest Rate Behavior in China’s Monetary Market Using the Vasicek and CIR Models

XIE Chi, WU Xiong-wei   

  1. College of Business Management, Hunan University, Changsha 410082, China
  • Received:2001-04-23 Online:2002-06-28 Published:2012-03-06

Abstract: This paper estimates the parameters of the Vasicek and CIR models by introducing the Generalized Method of Moments using the programs of the MATLAB and the data from China’s monetary market.Compared with other estimation methods,the empirical result is very significant.Then we can understand the interest rate behavior in China’s monetary market more clearly.

Key words: the term structure models of the interest rate, generalized method of moments, China’s monetary market

CLC Number: