仿射模型、广义仿射模型与上交所利率期限结构

本文以上交所利率期限结构从1996年6月至2003年2月的周样本数据作为分析对象,发现样本期内利率期限结构的平均形状是上斜的,而短期利率的基本趋势是下降的,说明长期债券具有较高的风险金。然后利用卡尔曼滤波法,实证分析了连续时间的两因子仿射、广义高斯仿射利率模型。结果表明模型下的利率期限结构与实际观测到的利率期限结构形状基本相同,说明模型能够反映利率期限结构的横截面特征。但两个模型对1,2,3,5,7年期利率的预测误差表现出一定序列相关性,说明模型还不能够很好地描述利率期限结构的时间序列特征。

Modeling Yield Curves in the SSE with Two-Factor Affine and Gaussian Essential Affine Models

With weekly yield curve data implied in Government bond prices in the Shanghai Stock Exchange from June 1996 to March 2003,it is found that average yield curve is up sloping,the main tendency of short interest rate is downward during the sample period,and long-term bonds have higher returns than short-term bonds.Afterwards,two popular interest rate models,one is affine,another is Guassian essential affine,are empirically studied.Making use of Kalman filter and QMLE approaches,the continuous-time two-factor models are estimated.The results indicate that the two models model the shapes of the yield curves very well,but the predicting errors show some serial correlations.