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The term structure of economic management rate under the parameter analysis of the estimation model based on common differential equation

Yaling Chen

Yaling Chen

  • Hunan University of Chinese MedicineChangsha, China
  • Hunan UniversityChangsha, China
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Chen, Yaling
, 
Chao Huang

Chao Huang

Hunan University of Chinese MedicineChangsha, China
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Huang, Chao
, 
Iyad Katib

Iyad Katib

Department of Computer Science, Faculty of Computing and Information Technology, King Abdulaziz UniversityJeddah, Saudi Arabia
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Katib, Iyad
 et 
Mohamad Salama

Mohamad Salama

Applied Science UniversityAl Eker, Kingdom of Bahrain
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Salama, Mohamad
  
15 déc. 2021
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Publié en ligne: 15 déc. 2021
Pages: 549 - 556
Reçu: 16 juin 2021
Accepté: 24 sept. 2021
DOI: https://doi.org/10.2478/amns.2021.1.00066
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© 2021 Yaling Chen et al., published by Sciendo
This work is licensed under the Creative Commons Attribution 4.0 International License.

Fig. 1

Parameter changes of Nelson-Siegel model.
Parameter changes of Nelson-Siegel model.

Fig. 2

The yield curve that the Nelson-Siegel model can depict.
The yield curve that the Nelson-Siegel model can depict.

Fitting results of state variables to short-term interest rates

The variable name δ0 δcc δm2 δppi δum
Regression results 10.1_5 (p = 0.00) −0.04 (p = 0.00) −0.87 (p = 0.00) 0.21 (p = 0.00) −1. 50 (p = 0.00)
(t = _5.2_5) (t = 2.13) (t = 1.98) (t = 3.03) (t = 6.08)

Descriptive statistics of government bond yields

Remaining life The mean The maximum The minimum value The median Partial degrees Kurtosis The standard deviation
3 months 0.0287 0.0415 0.0138 0.0357 −0.1422 −0.0224 0.0069
6 months 0.0290 0.0416 0.0149 0.0357 −0.3901 −0.0949 0.0067
9 months 0.0296 0.0422 0.0285 0.0952 −0.4056 −0.4153 0.0066
1 year 0.0313 0.0443 0.0198 0.0251 −0.2928 0.0628 0.0059
2 years 0.338 0.0453 0.0233 0.0451 −0.0411 0.7961 0.0059
3 years 0.345 0.0446 0.0245 0.0341 0.0708 0.0.7562 0.0052
4 years 0.0365 0.0460 0.0253 0.0357 0.0357 0.0357 0.0041
5 years 0.0380 0.456 0.0293 0.0368 0.0.2449 −0.06845 0.0034
7 years 0.0413 0.0487 0.0333 0.0402 0.0357 0.0251 0.0030
Langue:
Anglais
Périodicité:
1 fois par an
Sujets de la revue:
Sciences de la vie, Sciences de la vie, autres, Mathématiques, Mathématiques appliquées, Mathématiques générales, Physique, Physique, autres
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