| Empirical Estimation of Term Structure of Interbank Rates in China |
| |
| 引用本文： | 闵晓平. Empirical Estimation of Term Structure of Interbank Rates in China[J]. 西南交通大学学报(英文版), 2006, 14(3): 285-290 |
| |
| 作者姓名： | 闵晓平 |
| |
| 作者单位： | School of Finance, Jiangxi University of Finance and Economics, Nanchang 330013, China |
| |
| 摘 要： | Nelson-Siegel model （ NS model） and 2 extended NS models were compared by using daily interbank government bond data Based on the grouping of bonds according to the residual term to maturity, the empirical research proceeded with in-sample and outof-sample tests. The results show that the 3 models are almost equivalent in estimating interbank term structure of interest rates. Within the term to maturities between 0 and 7 years, the gap of the absolute errors of the 3 models between in-sample and out-of-sample is smRller than 0.2 Yuan, and the absolute values of the in-sample and out-of-sample errors are smaller than 0. 1 Yuan, so the estimation is credible. Within the term to maturities between 7 and 20 years, the gap of the absolute errors of the 3 models between in-sample and out-of-sample is larger than 0.4 Yuan, and the absolute values of the in-sample and out-of-sample errors are larger than 1.0 Yuan, so the estimation is incredible.
|
| 关 键 词： | 条款 结构 银行 中国 |
| 文章编号： | 1005-2429（2006）03-0285-06 |
| 收稿时间： | 2005-06-02 |
Empirical Estimation of Term Structure of Interbank Rates in China |
| |
| Min Xiaoping. Empirical Estimation of Term Structure of Interbank Rates in China[J]. Journal of Southwest Jiaotong University, 2006, 14(3): 285-290 |
| |
| Authors: | Min Xiaoping |
| |
| Abstract: | Nelson-Siegel model (NS model) and 2 extended NS models were compared by using daily interbank government bond data. Based on the grouping of bonds according to the residual term to maturity, the empirical research proceeded with in-sample and out-of-sample tests. The results show that the 3 models are almost equivalent in estimating interbank term structure of interest rates. Within the term to maturities between 0 and 7 years, the gap of the absolute errors of the 3 models between in-sample and out-of-sample is smaller than 0.2 Yuan, and the absolute values of the in-sample and out-of-sample errors are smaller than 0.1 Yuan, so the estimation is credible. Within the term to maturities between 7 and 20 years, the gap of the absolute errors of the 3 models between in-sample and out-of-sample is larger than 0.4 Yuan, and the absolute values of the in-sample and out-of-sample errors are larger than 1.0 Yuan, so the estimation is incredible. |
| |
| Keywords: | Interbank bond market Term structure of interest rate Estimation |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
