%0 Journal Article
%T 中国货币市场短期利率的CIR模型及其参数估计的期望方差法<br>CIR Model for Short-Term Interest Rates in the Chinese Money Market and Parameter Estimation Using the Expectation-Variance Method
%A 李文利
%A 王岩
%A 于慧
%J Statistics and Applications
%P 1598-1605
%@ 2325-226X
%D 2023
%I Hans Publishing
%R 10.12677/SA.2023.126163
%X 为了研究中国货币市场短期利率的动态规律，本文用CIR模型对瞬时利率的演化过程建模。对于模型中存在的未知参数，采用期望方差法建立估计量；并进一步选取银行间质押式7天回购利率(R007)数据作为瞬时利率的近似替代，得到CIR模型中参数的估计值；最终借助CIR模型给出中国货币市场短期利率的动态变化规律。<br />
This paper presents the CIR model for the evolution of instantaneous interest rates to investigate the dynamic patterns of short-term interest rates in the Chinese money market. For unknown pa-rameters in the model, the expectation-variance method is applied to give their estimators. Fur-thermore, we select the interbank pledge 7-day repo rate (R007) data as an approximate substitute for instantaneous interest rates, obtaining estimates for the parameters in the CIR model. Ulti-mately, with the assistance of the CIR model, we elucidate the dynamic change rule of short-term interest rates in the Chinese money market.
%K CIR模型，短期利率，期望方差法，参数估计，R007，中国货币市场<br>CIR Model
%K Short-Term Interest Rate
%K The Expectation-Variance Method
%K Parameter Estimation
%K R007
%K The Chinese Money Market
%U http://www.hanspub.org/journal/PaperInformation.aspx?PaperID=77243