基于Vasicek和CIR模型中的中国货币市场利率行为实证分析

:1003-207(2002)03-0022-04基于Vasicek和CIR模型中的中国货币市场利率行为实证分析谢赤,吴雄伟(湖南大学工商管理学院,湖南长沙410082):,MATLAB,VasicekCIR,,,:;;:F832C931:A:2001-04-23:(79970015);(OOBJYO13):(1963-),(),,,,(),,:.1,,VasicekCIR[1-2],[3]ChenScottPearsonSunl[4-5]GibbonsramaswamyHanse(GeneralizedMethodofMoments,GMM)[6-7]Chan,Karolyi,LongstaffSandrersGMM[8],,,,,,,GMM,MATLAB,VasicekCIR,2Vasicek:dr=k(-r)dt+dW(1)CIR:dr=k(-r)dt+rdW(2)k,,,W(t)dW0,dtk,,,E(dr)=k(-r)dt,Var(dr)=2(Vasicek),Var(dr)=2r(CIR)[8],rt+1-rt=+rt+t+1(3)E(t+1)=0,E[2t+1]=2rt(4)(Vasicek:=0),(CIR:=1/2),,2k,,,,,10320026ChineseJournalofManagementScienceVol.10,No.3Jun.,200233.1GMM[7]GMM,,,[8]t+1,GMM,GM,CIRx2,3.2GMMGMMJT=m()Wm()(5),K,m()L,WLL3.2.1m()0yt,E(yt)=,E(yt-)=0y[T1]=f(X[TK];)+(6)K,LK()E[mt(y,X;)]=0mt(y,x;^)=1TTt=1mt(yt,xt;^)yt,xtyXt,(4),2,,Zt,e(^)=y-f(X;^)(7)m()=1TTt=1Zte(yt,xt;)=1TZe(y,X;^)(8)3.2.2,m()=0,(4)Jt=0,,,,[7],W=S-1,^,(5),,m()/=M(),M()W()m()=0,4MATLABMATLAB,,GMM,MATLABVasicekCIRGMM4.1GMMMATLABGMM,(),,GMM4.2VasicekCIRMATLAB(4)E(t+1)=0,E(2t+1)=2(Vasicek)E(2t+1)=2rt(CIR),Zt=[1r(t)],yt=rt+1-rt,t+1=rt+1-rt--rt,(8)VasicekCIRmt=1Tt+1t+1rt2t+1-22t+1rt-2rt,mt=1Tt+1t+1rt2t+1-2rt2t+1rt-2r2tMATLAB(),,MATLAB()Mmodeldata,233:VasicekCIR4GMM,VasicekCIR()5()301996111999620,167[3],,r(t,T)=1T-tln[1+R(t,T)(T-t)],30,T-t=30/365()167,1130rt1670.0959020.0251940.1271140.041808rt+1-rt166-3.28E-40.012430.040697-0.0408666,GMM,(2),MATLAB232VasicekTP0.010830.002584-2.580.0098-0.1109250.0290988.220.000020.000080.000036-8.930.0000(1)k=0.1109,=0.0976,=0.00893CIRTP0.0100540.002592-2.870.0041-0.0994060.0282618.870.000020.0005820.0003500.520.6042(2)k=0.0994,=0.1011,=0.0241,Vasicek1%,CIR1%,,2,VasicekCIR,[3]VasicekCIR:(1)Vasicek,(2)[3]CIR,1,2,41,30,(3)Vaskick,k[3],:(1)Vasicek(2)GMM,,GMM[3](3)30,,,,,167,[3],,,k,VasicekCIRGMM,,[8]GMM44GMMk2Vasicek0.17790.01540.0004CIR0.23390.01890.0073k,2,[8]19646198912,,,,,,,,,,,242002,,,19961999,,:[1]Vasicek,O.AnEquilibriumCharacterizationofTheTermStructure[J].JournalofFinancialEconomics,1977,5:177-188.[2]Cox.J.C.,J.E.IngersollJr.,andS.A.Ross.ATheoryoftheTermStructureofInterestRates[J].Econometrica,1985,53:384-407.[3],,.[M].,2000.[4]Chen,R.andL.Scott.MaximumLikelihoodEstimationofaMulti-FactorEquilibriumModeloftheTermStructureofInterestRates[J].JournalofFixedIncome,1993,3(3):14-32.[5]Pearson,N.andT.Sun.ATestoftheCox,IngersollandRossModeloftheTermStructureofInterestRatesUsingtheMethodofMaximumLikelihood[J].JournalofFinance,1994.[6]Gibbons,M.andK.Ramaswamy.ATestoftheCox,Ingersoll,andRossModeloftheTermStructure[J].ReviewofFinancialStudies,1993,6(3):619-658.[7]Hansen.LargeSamplePropertiesofGeneralizedMethodofMomentsEstimation[J].Economerica,1982,50:1029-1054.[8]Chan,K.C.,G.A.Karoyli,F.A.LongstaffandA.B.Sanders.AnEmpiricalComparisonofAlternativeModelsoftheShort-ternInterestRate[J].JournalofFinance,1992,47:1209-1227.[9].[J].,2000,19(3):49-52.[10],.[J].,2000,8(4):1-5.AnEmpiricalAnalysisoftheInterestRateBehaviorinChinasMonetaryMarketUsingtheVasicekandCIRModelsXIEChi,WUXiong-wei(CollegeofBusinessManagement,HunanUniversity,Changsha410082,China)Abstract:ThispaperestimatestheparametersoftheVasicekandCIRmodelsbyintroducingtheGeneralizedMethodofMomentsusingtheprogramsoftheMATLABandthedatafromChinasmonetarymarket.Comparedwithotherestimationmethods,theempiricalresultisverysignificant.ThenwecanunderstandtheinterestratebehaviorinChinasmonetarymarketmoreclearly.Keywords:thetermstructuremodelsoftheinterestrate;generalizedmethodofmoments;Chinasmonetarymarket.253:VasicekCIR