机构地区: 清华大学经济管理学院
出 处: 《运筹与管理》 2006年第6期87-90,共4页
摘 要: 通过对2002年1月到2006年3月的国内银行间国债数据的主成份分析表明,利率的动态变化基本上可以被三个因子所解释。由此我们建立了一个三因子仿射模型,并给出债券的定价公式。通过卡尔曼滤波法对模型的实证分析,证实该模型基本上能在时间序列和横截面两个维度上与实际数据相符合。从预测能力来看,0.5年和1年期利率的预测结果相对误差略大,而2、3、5、10年期利率的相对误差较小,平均值相对误差在1%之内。 After computing principal components of government bond data in China's inter-bank market from January 2002 to March 2006, we find that dynamic changes of interest rate can almost be explained by three factors. Based on this result, we develop a three-factor affine model and deduce the formula for pricing bonds. With the Kalman filter approach, the empirical research shows the model reconciles the time-series dynamics of yields with the cross-sectional shapes of the term structure. In the aspect of forecasting accuracy, relative errors of 0.5 and 1 year maturities are slightly more than that of 2, 3, 5 and 10 year maturities, which are within 1%.
领 域: [经济管理]