关于中国金融市场利率期限结构的实证研究

As a fundamental determinant economic variable, the short-term interest rate directly affects the pricing models of financial products and the effective risk management. So many term structure models of interest rates have been developed and estimated by academic researchers. Unfortunately, much of the existing research is confined to the developed countries, mainly to UK or US. With the deep-going reform and opening-up as well as China's entrance into WTO, Chinese financial market is making its reform and development in line with international practice. Hence the need to have further international evidence on the subject is compelling. Based on the newest theoretical models and empirical methodology of foreign scholars, we should do some work at the term structure models of China interest rate so as to describe the dynamics of China short-term interest rate..Therefore, the research project is designed to do an empirical examination of alternative term structure models of interest rate on the China financial market, which are under different assumptions of interest rate process. Firstly, we develop a common structure of single-factor term structure models of interest rates. Under this structure, we analyzed Vasicek, CIR and Merton models. Then we consider corresponding term structure models of interest rate and develop the methodology to complete an empirical study for China financial market. We will use CHIBOR as our data source. Finally, considering the characteristics of China financial market, we develop some interest rate dynamical process to estimate the term structure models so that we can understand the interest rate behavior of China financial market..Through thorough and systematic research, this project made a series of innovative achievements, including "An Empirical Analysis of HJM Model with State Variables", "The Common Framework of Single Factor Interest Rate Models with Diffusion Process"," An Empirical Analysis of the Interest Rate Behavior in China Monetary Market Using the Vasicek and CIR Models", "The Evolution of the Common Structure of Continuous-Time Interest Rate Models and A new Development", "The Dynamics of Short-term Interest Rates in China", etc.By doing these empirical researches, we can know which kind of process and which model can describe the interest rate behavior of China financial market well. These results not only help the theoretical research of term structure of interest rate in China, but also have much significant practical importance. Because the short-term riskless rate is one of the most fundamental and important prices determined in financial markets. The assumption and description of the interest rate behavior is not only the base of the designing and pricing of the derivative products, but also concerns the success of the interest rate risk management of many enterprises..

作为转型中的中国金融市场有着鲜明的特点：来自政府频繁而深入的干预、经济增长率.的剧烈波动、市场运转的低效等，因此我们假定中国金融市场利率的行为遵循两个不同的过.程：离散过程和跳跃-离散过程。在此基础上对各种利率期限结构模型进行比较分析并开发.出新的方法，应用中国银行间同业拆借利率来完成对中国金融市场利率行为的实证研究。.