【摘要】 本文在Bjork and Christensen(1999)的基础上,进一步研究了远期利率曲线与利率动态模型具有一致性的充分必要条件,论证了广泛采用的Nelson-Siegel模型与Ho-Lee、Hull-White、HJM等无套利模型的不一致性,提出了一个与这类无套利模型相一致的新的远期利率曲线参数模型,实证研究表明,这个一致性远期利率曲线在收益率曲线的横截面拟合方面与Nelson-Siegel模型具有十分相似的良好表现,可应用于无套利模型校准、利率衍生品定价和货币政策分析等方面。更多还原

【Abstract】 Based on the research of Bjork and Christensen(1999),the paper further examines the necessary and sufficient conditions for the mutual consistency of a given parametrized model of forward rate curve and the dynamics of a given interest rate model,proves that Ho-Lee,Hull-White and HJM interest rate models are inconsistent with the popular Nelson-Siegel model,and derive a new parametrized model of forward rate curve which is consistent with the no arbitrage interest rate models.Empirical research results show that,similar with Nelson-Siegel model,the new parametrized model of forward rate curve does a good job in fiting the yield curve.We shall use the new parametrized model for calibrating no arbitrage interest rate model,pricing interest rate derivaives and analyzing monetary policy.更多还原