基于区制转移模型的短期利率动态行为分析

《基于区制转移模型的短期利率动态行为分析》由会员上传分享，免费在线阅读，更多相关内容在学术论文-天天文库。

1、基于区制转移模型的短期利率动态行为研究AbstTaCtThedynamiebehaviorofshort一terminterestratesPlaysaveryimPortantroleonfixed一ineomeseeuritiesandinterestratederivatives.Sineeunderstandofthedynamiesoftheshort一terminterestrateseanhelPtodiseoverthePrieesoffinaneialProduets，managetheriskofinterestrates.Short一terminteres

2、trate15animPortantbusinesseyelevariable，whieh15imPortantfortheformulationofmonetaryPolieyandthesensitivityofinflationexPectations.Thxoughanalysisofthedynamicbehaviorofshort一terminterestrates，maeroeeonomicPolieieseanbeeffeetivetoadapttoeconomieeyelesandchangesininflationexPectations，evaluatio

3、noftheeffeetsofeeonomiePoliey.Therefore，alargenumberofdomesticandforeignseholarseonduetresearehonshort一terrniflterestrates.BlltmostofthestudiesbasedonBrownianmotiontodeseribethedynamiebehaviorofshort一terminterestrate，50thesamPlePatllofshort一terminterestrate15alwayseontinuous，Howeveralargenum

4、berofemPiriealstudiesfoundthatthesamPlerate15notalwayseoutinuous，therewillbestructuralehangesininterestratebehavior.Infact，short一termratesinChinaaetuallyundergosignifieantstrueturalehangesandinterestratevolatilityhasobviousboundaries.Therefore，it15neeessarytotakeintoaeeountthestrueturalehang

5、esinshort一terminterestratestoeaPturethetime一varyingstateoftheeconomieehanges.ThisstudyfoeusonthreeasPeets.Firstly，toextendthesinglefactorinterestmodel一CKLSbasedontheregimeswitehingmodel.Theregimevariablefollowsacontinuoustimetwo一stateMarkovehain.Seeondly，intruduetingthedetailsofatheoryestabl

6、ishedbyAi’t一Sahalia(2002)toapProximatethetruedensityfunetionofanarbitraryunivariatedi饰sionProeessinelosedform.ThenhighlyaeeuratetransitiondensityfunetionofthediffusionProeess15usedwheneonstruetingthelikelihoodfunetionbyaPPlyingthereeursivealgorithmdeveloPedbyHamilton(1989).Therefore，ourstudy

7、doesnotsufferfromdiseretizationbias.Finally，eonductingouremPiriealanalysisofshort一terminterestratesthroughmaximumlikelihoodestimationandeomParingourmodelwithmodelsofVasieekandCIR.ThemaximumlikelihoodestimatesareobtainedusingthedailyseriesofChinasev