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2011•Systems EngineeringRequires access

The Empirical Analysis of the Econometric Model of Interest Rate Risks of Treasury Bonds based on CKLS Process

Zhu Xiaoming, Yulei Rao, Xiangyun Liu

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Abstract

The paper conducts a empirical analysis of all kinds of dynamic interest rate models by taking four types of interest rate term structure (i.e.7 years,8 years,10 years and 20 years) of our country's Treasury bond market as an example.These results are: CIR model is more suitable to China's present practice;MLE can be used to estimate kinds of dynamic models of interest rate,because GMM is inefficient.Finally this paper sets up the Duration model on basis of four types of interest rate term structure and carries on experimental calculation.

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What this paper is about

The paper conducts a empirical analysis of all kinds of dynamic interest rate models by taking four types of interest rate term structure (i.e.7 years,8 years,10 years and 20 years) of our country's Treasury bond market as an example.These results are: CIR model is more suitable to China's present practice;MLE can be used to estimate kinds of dynamic models of interest rate,because GMM is inefficient.Finally this paper sets up the Duration model on basis of four types of interest rate term structure and carries on experimental calculation.

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Available abstract

The paper conducts a empirical analysis of all kinds of dynamic interest rate models by taking four types of interest rate term structure (i.e.7 years,8 years,10 years and 20 years) of our country's Treasury bond market as an example.These results are: CIR model is more suitable to China's present practice;MLE can be used to estimate kinds of dynamic models of interest rate,because GMM is inefficient.Finally this paper sets up the Duration model on basis of four types of interest rate term structure and carries on experimental calculation.

Key concepts: Treasury, Interest rate, Econometrics, Yield curve, Bond, Economics, Econometric model, Interest rate risk

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