Empirical Estimation of Term Structure of Interbank Rates in ChinaOA

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 …查看全部>>