我国短期利率变动模式的实证.研究

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1、AnEmpiricalStudyonthe‘ChangeModeofChineseShort．．termInterestRateMajor：EconometricsName：LiRunnanSupervisor：ProfessorWangMeijinABSTRACTAsinterestratesarethepriceofcapitalcost，dynamicmodelofshort-terminterestratesistheresearchfoundationofinterestratederivativespricingandri

2、skmanagement．Thispaperattemptstobuildaunifiedresearchframeworkandanalysisplatformforvariousinterestrateterms缸1lctIlremodels，andestimateslineardriftmodelandnonlineardriftmodelbyGMM．Weestimatelineardriftmodelandnonlineardriftmodelinthesamplefirst，andcomparethem，tofindthat

3、modelAG、modelCKLSandmodelB—Sarebetter,butthedifferencesarenotobvious．ThenweapplyinterestratemodelstoOut-of-sampleforecasting,useanumberofindicatorstomeasurethepredictivepowerofinterestratemodel，tofindmodelAG、modelCKLSandmodelB-SaremoreeffectiveOut-of-samplethanothermode

4、ls．AndthetestingsubsetsoforthogonalconditionsconfirmstheGMMestimationofthethreemodelsisrobust，ofwhichmodelAGbasedontheneworthogonalconditionsismoreadequateforChineseinterestratemarket．Finallyweputthemodeltostructuralchangetestaboutinterestrateadjustment，andfindtheextend

5、edmodelAGdifferentrestrictsonsomeparameterscouldcharacterizetheactualpattemofchangesininterestratesafterstructuralchange．Nonlineardrift,obviousMean-reversionandleveleffectaretheprincipalcharactersofChineseinterestratechanges．KeyWords：termstructureofinterestrate，lineardr

6、ift，nonlineardrift，GMM，structuralchangeⅡ目录第一章前言⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯．．11．1研究意义⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯11．2研究对象⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯21．3文章结构⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯3第二章文献综述⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯42．1国外文献综述⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯．．42．2国内文献综述⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯．．7第三章中国利率期限结构模型的估计⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯93．1模型特征的刻画⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯

7、⋯⋯⋯⋯93．2模型估计与检验方法⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯．123．3线性漂移模型⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯．153．4非线性漂移模型⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯．．27第四章中国利率期限结构模型的应用⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯．．304．1样本外预测能力比较⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯．304．2基于矩条件的模型稳健性检验⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯．．334．3结构性变化检验⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯．．384．4结构性变化前后模型的行为分析⋯⋯⋯⋯⋯⋯⋯⋯⋯．．42第五章结论和进一步研究方向⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯．．45参考文献⋯⋯⋯

8、⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯．48附录⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯．．51后记⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯．．58IV’图3-I图3-2图3-3图3-4图3-5图3-6图表目录利率的均值回复⋯⋯⋯⋯⋯