1年期储蓄存款利率被认为是中国利率体系的基准利率,可将其作为影响市场利率期限结构的状态变量.市场利率不同于官方利率,它们还受其他经济变量的影响.这些其他经济变量对市场利率的影响用1年期市场利率与1年期储蓄存款利率的差别来反映,把它作为影响市场利率的另外一个状态变量.分别用跳跃过程和均值回复过程描述这两个状态变量的变化.在仿射模型的框架下,它们决定了市场利率期限结构.本文给出了该模型下市场利率期限结构的分析表达式,并利用MCMC方法对模型进行了实证分析.实证表明该模型能够很好地拟合市场利率期限结构样本观测值的统计特征.实证分析还发现,债券的超额回报率显著受官方利率调整风险和市场利率随机波动风险的影响.
Because one-year deposit interest rate is considered as the benchmark rate for the system of Chinese interest rates,it is assumed as a state variable to affect market rates.Market rates are different from the official interest rates,and they are affected by other economic variables.The effects of these economic variables are assumed to be represented by the difference in one-year market rate and one-year deposit rate.The difference is assumed as another state variable.The one-year deposit rate is assumed to follow a jump process,and the difference is assumed to follow a mean-reverting model.In the framework of affine model,the yield curve of market rates is determined by the two state variables.The closed-form solutions for market interest rates are obtained,and then MCMC is used as estimation methodology to test the model empirically.The empirical results indicate that the model fits the statistical characteristics of the sample data very well.The empirical results also show that bond excess returns are significantly related to jump risk of the deposit interest rate and volatile of market interest rate.