| 利率期限结构的主成分分析 |
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| 引用本文： | 许瑾,缪柏其. 利率期限结构的主成分分析[J]. 数理统计与管理, 2004, 23(2): 19-22 |
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| 作者姓名： | 许瑾 缪柏其 |
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| 作者单位： | 中国科学技术大学商学院,安徽,合肥,230026;中国科学技术大学商学院,安徽,合肥,230026 |
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| 摘 要： | 本文采用主成分分析的方法对我国的利率期限结构进行了研究。在采用这种方法的同时,结合非线性变换BOX—COX得出了我国的利率期限结构具有代表性的三个主成分:利率期限结构曲线的平移、斜率的变化以及曲率的变化。同时通过实证分析证实了这种方法的有效性。
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| 关 键 词： | 利率期限结构 主成分分析 BOX-COX变换 |
| 文章编号： | 1002-1566(2004)02-0019-04 |
| 修稿时间： | 2002-10-06 |
Principal components analysis of the term structure of interest rates |
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| XU JinMIAO Bai-qi. Principal components analysis of the term structure of interest rates[J]. Application of Statistics and Management, 2004, 23(2): 19-22 |
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| Authors: | XU JinMIAO Bai-qi |
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| Abstract: | This paper analyzes principal components constructing the term structure of interest rates in China. Using non-linear BOX—COX transform under principal components analysis method ,it is found that there are three typical main components,which are the parallel movement of the entire yield curve,the change in the slope of the curve and the change in the curvature of the curve .The empirical study confirms the efficiency of the method. |
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| Keywords: | the term structure of the interest rates principal components analysis BOX—COX transform |
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