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基于双因素利率期限结构模型的国债市场利率行为研究

Study on the Interest Rate Behavior in Government Bonds Market Based on the Two-factor Term Structure Models of Interest Rates

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【Author】 ZHANG Shao-bin~1, QI Zhong-ying~1, ZHANG Ya-guang~2(1.School of Management, Harbin Institute of Technology, Harbin 150001, (China;)2.School of Economics & Management, Harbin Engineering University, Harbin 150001,China)

【机构】哈尔滨工业大学管理学院；哈尔滨工程大学经济管理学院黑龙江150001；黑龙江150001；黑龙江哈尔滨150001；

【摘要】本文引用一种新的计量经济学方法-高斯估计法,通过Gauss语言编程,使用国债市场短期利率数据对双因素连续时间利率期限结构模型进行了参数估计和预测,得出的结果较理想,从而能更好的了解国债市场短期利率行为特点。更多还原

【Abstract】 In the paper, the author estimates and forecasts the two-factor continuous time model of term structure of interest rates by introducing the new Gaussian estimation method using the programs of Gauss language and the data from government bonds market. The empirical result is very significant. Then we can understand the interest rate behavior in government bonds market more clearly.更多还原

【关键词】期限结构；回购利率；双因素模型；
【Key words】 term structure； repurchasing rate； two-factor model；

【文献出处】运筹与管理 ,Operations Research and Management Science , 编辑部邮箱 ,2005年02期

【分类号】F224
【被引频次】14
【下载频次】299

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