中文摘要：

通过在Vasicek模型中引入跳跃强度与宏观经济变量相关的跳跃成分，本文建立了一个更具一般性的跳跃-扩散动态利率期限结构模型，并对该模型的五种不同形式进行了实证比较与分析。借助于新模型和比较结果，本文对中国短期利率的跳跃行为进行了实证研究。结果表明：（1）短期利率不仅存在均值回复和扩散行为，还存在显著的跳跃行为；（2）短期利率的跳跃强度存在显著的正向水平效应和宏观经济效应①，但水平效应比宏观经济效应更显著；（3）跳跃行为、跳跃强度的水平效应以及宏观经济效应在刻画利率动态行为时都是必要的，现有的跳跃-扩散模型不足以描述中国短期利率的动态行为特征。

英文摘要：

By introducing jump component whose jump intensity model, this paper sets up a more general dynamic jump-diffusion term and makes empirical study on the jump behavior of Chinese short rate is related with c variable into the Vasicek structure model, compares five different forms of this model The results indicate that： （1） Not only are there meanreversion and diffusion behavior in Chinese short rate, there also exists significant jump behavior in it; （2） The jump intensity of the short rate exhibits significant positive level effect and macroeconomic effect, but level effect of the jump intensity is more significant than macroeconomic effect; （3） Jump behavior, level effect and macroeconomic effect of jump intensity are all indispensable when describing the dynamic behavior of short rate, extant jump-diffusion models are not enough to describe the dynamic behavior of Chinese short rate.