西南交通大学学报（英文版）2006，Vol.14Issue(3)：285-290,6.
Empirical Estimation of Term Structure of Interbank Rates in China
Empirical Estimation of Term Structure of Interbank Rates in China
Min Xiaoping1
作者信息
- 1. School of Finance, Jiangxi University of Finance and Economics, Nanchang 330013, China
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摘要
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.关键词
Interbank bond market/Term structure of interest rate/EstimationKey words
Interbank bond market/Term structure of interest rate/Estimation分类
交通工程引用本文复制引用
Min Xiaoping..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):285-290,6.
