汇率研究

1361005Abstract:Thispaperdidaresearchreviewoftermstructurefromfiveaspects.Theseaspectsare:hypothesisonformationoftermstructure;staticestimationoftermstructure,microanalysisontheshapeoftermstructure,dynamicmodelsoftermstructure,andtheempiricaltestsofdynamicmodels.Basedonthesereview,thispaperdiscussedsomefutureresearchforthetermstructureofinterestrate.KeyWords:TermStructureofInterestRate,LiteratureReviewEmail:[e-mail],3610051966,,24Email:[e-mail]361005termstructureyieldcurve12345JabbourandMansi(2002)Gibson,Lhabitant1200303JB7900162003B069andTalay(2001)Yan(2001),DaiandSingleton(2003)ShillerandMcCulloch(1990)Melino(1986)expectationhypothesismarketsegmentationhypothesisliquiditypreferencehypothesis111,1tr+n11,1,1,1,1(1)(1)nntntnntntPrPr−+−−++=+,,1,2,...,itrin=ti,(1)1,,1,111,1(1)1()(1)(1)(1)nntnnttnttntnntrrErErr−−−+−−+++==+++12nnn1n-1,1,1,11,21,1(1)((1)(1)(1)....(1))nnttttttnrErrrr+++−+=++++=11,1,1(1)((1))nttntrEr−−+++,1,11,1(1)1((1))nnttntntrrEr−−+++=+21,1,11,1(1)1()(1)nntttnntrrEr−−+++=+2,1,11,1(1)1((1))nnttntntrrEr−−+++=+,11,1(1)()(1)nnttnntrEr−−++≠+,11,1(1)((1))nntntntrEr−−+++12Cox,IngersollandRoss,1981Cochrane(2000)Lin(2003)1Cargill(1975)2Lee1989Culbertson(1957)Campbell(1986a)Cox,IngersollandRoss(1981)0CampbellandShiller(1991)YieldspreadMankiwandMiron(1986)regimeBekaert,HodrickandMarshall(1997)3McCown(2001)8inverted34199619972002199719985Froot(1989)()mδ∫+=000)()(100mdmmcmPδδP)(mδm0mc∑=+=kjjjmfaam10)()(δ0)0(,10==jfa∑∑∑===+++=nikjijjkjjjmfacmfaP0110))(1())(1(100=0100cm++∑∫=+kjmjjjdmmfcmfa100))()(100(00100cmPy−−=∫+=000)()(100mjjjdmmfcmfx∑==kjjjxay1tkjjjxayε+=∑=1t,)(mfjkjajakMcCulloch(1971)LinandYeh(2001)CarletonandCooper(1976)Shea(1984)Fisher,NychkaandZervos(1995)Jeffrey,LintonandNguyen(2000)2003aMcCulloch(1971)2003b2004LittermanandScheinkman(1991)levelsteepnesscurvatureDaiandSingleton(2000)levelslopebutterflyChenandScott(1993)persistentlesspersistentstrongmean-revertingBuhlerandZimmermann(1996),DEcclesiaandZenios(1994),Sherris(1994),MartelliniandPriaulet(2000),Maitland(1999),SchereandAvellaneda(2000)200220041Readington1952FisherandWeil(1971)Bierwag(1981),Bierwag(1983),BrennanandSchwartz(1983)BierwagandKhang(1979)Ingersoll(1983)NelsonandSchaefer(1983)BrennanandSchwartz(1983)212(butterflyshift)Garbade(1985)GultekinandRogalski(1984),Elton(1988)Elton(1990)Klaffky(1992)reshapingdurationChambersandCarleton(1988)(multipleduration)durationvectorsReitano(1992,1996)(partialduration)Ho1992Ho(1992)(keyrateduration)Moreno(1997)1234(EquilibriumModel)NoarbitrageModel1Vasicek(1977)CIR(1985)RendlemanandBarter(1980),BrennanandSchwartz(1982)1Vasicek(1977)Vasicek1977()drkrdtdzθσ=−+σ,,barkθσVasicekGARCH02CIRCox,IngersollandRoss(1985a,b)CIRdZrdtrkdrσθ+−=)(CIR2HJM(1992)Ho-Lee(1986)HullandWhite(1990)Black,DermanandToy(1990)1HJMHeath,JarrowandMorton(1992)T(,)ftT)(),(),(),(),(tdzTtdtduutTtTtdfTtσσσ+=∫HJMnn2Ho-LeeHoandLee1986Ho-Lee()drtdtdzθσ=+2()(0,)ttFttθσ=+(0,)FttttHo-Lee3HullandWhiteHullandWhite(1990)Vasicek(())drtkrdtdzθσ=−+11GARCHBrenner,HarjesandKroner(1996)informationshock2LongstaffandSchwartz(1992)CIR(XY)3Constantinides(1992)CIR4(affinemodel)DaiandSingleton(2003)'(),ttttdMrdtdWtM=−−Λtr()WtNtΛ((),),((),),()(,)(,)()ttPPYYrrYttYttdYtuYtdtYtdWtσ=Λ=Λ=+N(,)()tPttrttdMrdtrtdWtMσ=−−VasicekCIRHull-WhiteHo-Lee232BansalandZhou(2001)(SNP)(EMM).SandersandUnal(1988)VasicekDai,SingletonandYang(2003)3BazandDas(1996)jump-diffusionmodelVasicek()(()()()drtrtdtdWtJdNtαβσ=−++()Ntλ[,]ttdt+1dtλ()1dNt=()0dNt=Jθ2δ()dWt()dNt()001()((0)())jNtttTtuujjrtereduedWueTαααααβσ−−==+++∑∫∫jTj12()0...NtTTTt≺≺≺≺≺()Nt2Ahh,DittmarandGallant(2002)Constantinides(1992)3AndersonandLund(1997,1998)AhnandGao(1999)4Glodstein(2000)Black(1995)020021234WangandZhang(1997)Lai(1997)I(1)I(0),I(d)d1I(d),0d1Pesando(1979)12Durham(2002)DurhamandGallant(2002)Bali(1999)Chan(1992)GMMVasicekSchloglandSommer1997crosssectionalanalysisJohannes2003Fernandez(2001)Karoui,GermanandLacoste(2000)HJM95%BrownandDybvig(1986)CIRLinandYeh(2001)B-splineLanneandSaikkonen2003volatilitypersistencelevelpersistenceBallandTorous(1999)2002Vasicek2002VasicekCIRLinandZheng(2003)GARCHBallandTorous(1996)CIRBrennanandSchwartzGMM1212343[1]Ahh,D.-H.,R.F.DittmarandA.R.Gallant,2002,“QuadraticTermStructureModels:TheoryandEvidence”,ReviewofFinancialStudies,15,243-288.[2]Ahn,D.andB.Gao,1999,“AParametricNonlinearModelofTermStructureDynamics”,ReviewofFinancialStudies,12,721-762.[3]Anderson,T.G.andJ.Lund,1997,“EstimatingContinuous-TimeStochasticVolatilityModelsoftheShort-TermInterestRate”,JournalofEconometrics,72,343-377.[4]Anderson,T.G.andJ.Lund,1998”StochasticVolatilityandMeanShiftintheShortTermInterestRateDiffusion:SourcesofSteepness,LevelandCurvatureintheYieldCurve”,WorkingPaper,NorthwesternUniversity.[5]Bali,T.G.,1999,“AnEmpiricalComparisonofContinuousTimeModelsoftheShortTermInterestRate”,TheJournalofFuturesMarkets,19,777-197.[6]Ball,C.A.,andW.N.Torous,1996,“UnitRootsandtheEstimationofInterestRatesDynamics”,JournalofEmpiricalFinance,3,215-238.[7]Ball,C.A.,andW.N.Torous,1999,“TheStochasticVolatilityofSh