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短期利率在固定收益证券的定价和利率风险管理中具有基础性的作用,构建动态利率模型更准确地描述短期利率的动态行为非常重要。本文通过建立一种扩展的Vasicek模型,把具有不变均值的Vasicek模型转换成均值和回复速度均可变的模型,以更符合实际利率的运行模式。本文研究发现,利率阶段内会回复到具有趋势的时变均值上,或者围绕趋势线上下波动与跳跃,且跳跃不会改变利率的阶段性趋势。而且,本文报告了同时具有时变均值回复和跳跃特点的利率期限结构,说明了利率趋势对利率期限结构的影响,为投资者在货币市场的投资提供了参考。
Short-term interest rates play a fundamental role in the pricing and interest rate risk management of fixed income securities. It is very important to construct a dynamic interest rate model to describe the dynamic behavior of short-term interest rates more accurately. In this paper, by building an extended Vasicek model, the Vasicek model with invariant mean is transformed into a model with variable mean and response speed, which can be more in line with the actual interest rate. This study finds that the interest rate will return to the trend of the time-varying mean, or fluctuate and jump around the trend line, and jump will not change the interest rate of the stage trend. Moreover, this paper reports the term structure of the interest rate with the characteristics of both time-varying mean value recovery and jump, and illustrates the influence of the interest rate trend on the term structure of the interest rate, which provides a reference for the investor’s investment in the money market.