摘要
即期利率和远期利率曲线是金融行业中最为基本和重要的工具。在对利率期限结构参数模型中被广泛运用的NS模型和Svensson模型进行比较分析的基础上,估计了我国国债市场的即期利率和远期利率曲线。实证研究表明,Svensson模型在以最小化收益率误差的估计方法下,能够较理想地构造中国国债市场的即期利率曲线和远期利率曲线。
Spot interest rates and forward interest rates curves are the most elementary and important instruments in finance. By studying NS and Svensson models which are the most popular among parametric models for term structure of interest rates, this paper derives the spot rates and forward rates curves for the China Treasury market. Empirical research shows that the Svensson model with minimizing yield errors can work well.
出处
《财经理论与实践》
CSSCI
北大核心
2009年第4期38-42,共5页
The Theory and Practice of Finance and Economics
关键词
利率期限结构
即期利率曲线
远期利率曲线
参数模型
国债市场
Term structure of interest rates, Spot rates curve, Forward rates curve, Parametric models, China treasury market
