TY - GEN
T1 - Modeling on interest rate behavior of RMB
T2 - IEEE International Conference on Automation and Logistics, ICAL 2008
AU - Ma, Jie
AU - Wang, Cuicui
AU - Bai, Manying
PY - 2008
Y1 - 2008
N2 - Under the background of the marketization of RMB's interest rate, the capacity to capture the change of interest rate will be the core ability of financial institutions. After comparing the features of classic single factor interest rate models, Vasicek, CIR and CKLS model, this paper processes the three continuous time differential equations into discrete forms by Euler equation. The authors respectively compile SAS programs of LS and GMM for these three interest rate model, and obtain their parameter values, by taking 1271 daily closing quotation data of the Chinese inter-bank collateralised repo rate within 7 days (R007). The empirical results show that the Vasicek and CIR models are much more suitable to explain the behavior of RMB's interest rate, other than the CKLS model, which is the most complicated model within the three interest rate models. Furthermore, the explanation power of CIR model for RMB's interest rate is the strongest in our studies.
AB - Under the background of the marketization of RMB's interest rate, the capacity to capture the change of interest rate will be the core ability of financial institutions. After comparing the features of classic single factor interest rate models, Vasicek, CIR and CKLS model, this paper processes the three continuous time differential equations into discrete forms by Euler equation. The authors respectively compile SAS programs of LS and GMM for these three interest rate model, and obtain their parameter values, by taking 1271 daily closing quotation data of the Chinese inter-bank collateralised repo rate within 7 days (R007). The empirical results show that the Vasicek and CIR models are much more suitable to explain the behavior of RMB's interest rate, other than the CKLS model, which is the most complicated model within the three interest rate models. Furthermore, the explanation power of CIR model for RMB's interest rate is the strongest in our studies.
KW - Discrete form
KW - Generalized moment method
KW - Interest rate of RMB
KW - Single factor model
UR - https://www.scopus.com/pages/publications/56449129240
U2 - 10.1109/ICAL.2008.4636680
DO - 10.1109/ICAL.2008.4636680
M3 - 会议稿件
AN - SCOPUS:56449129240
SN - 9781424425020
T3 - Proceedings of the IEEE International Conference on Automation and Logistics, ICAL 2008
SP - 2941
EP - 2945
BT - Proceedings of the IEEE International Conference on Automation and Logistics, ICAL 2008
Y2 - 1 September 2008 through 3 September 2008
ER -