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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
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Abstract:
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。
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.
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