التفاصيل البيبلوغرافية
| العنوان: |
Empirical study on estimating the term structure of interest rates based on parametric model. (English) |
| المؤلفون: |
MIN Xiao-ping, TIAN Peng |
| المصدر: |
Journal of Harbin Institute of Technology. Social Sciences Edition / Haerbin Gongye Daxue Xuebao. Shehui Kexue Ban; 2009, Vol. 41 Issue 6, p239-242, 4p, 5 Charts |
| مصطلحات موضوعية: |
INTEREST rates, GOVERNMENT securities, ESTIMATION theory, INTEREST rate futures |
| مصطلحات جغرافية: |
CHINA |
| الشركة/الكيان: |
SHANGHAI Stock Exchange Composite Index |
| مستخلص: |
In order to obtain a reliable model to estimate the term structure of interest rates in China, classic models are empirically tested. Nelson and Siegel model (NS model) and Svensson model (SV model) belonging to parametric model for the estimation of the term structure of interest rates are analyzed with likelihood ratio test and in - sample and out - of - sample grouped goodness - of - fit test, using monthly data of government bond in Shanghai Stock Exchange from June in 1997 to October in 2004. The results show that NS model is superior to SV model in estimating the term structure of interest rates in Shanghai Stock Exchange; the estimation between 1 and 10 years, especially between 5 and 7 years, is credible; the estimation beyond maturities above is doubtful. [ABSTRACT FROM AUTHOR] |
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Copyright of Journal of Harbin Institute of Technology. Social Sciences Edition / Haerbin Gongye Daxue Xuebao. Shehui Kexue Ban is the property of Harbin Institute of Technology and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) |
| قاعدة البيانات: |
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