The Empirical Research Of Shibor Behavior Based On The Single-factor Interest Rate Model With Jump Process

Interest rates,as the price of money,has been concerned by the attention of all of the society,reasonable interest rates will be beneficial to the efficiency of resources in financial markets.Enterprises will reasonably attribute the proportion of capital between debt financing and equity financing according to the interest rate level,correctly grasp the variation trend of interest rates,reduce the management risk and cost of the enterprise.Financial institutions will accurately grasp the whole financial market environment according to the change of interest rates,effectively reduce the financial risk and rapidly response to the change of external environment.Individuals can adjust the ratio between the savings and investment of family,maximize the utility of household and increase the social welfare.Shibor gradually became the standard rates of financial market in China since it began its operation,especially for the overnight rate,which has the characteristic of large volume and actively trading situation,become the indicator of the financial market.This paper studies the short-term interest rates' fluctuations in our financial market based on the overnight rate of Shibor,which obviously exists characteristic of mean resilience and volatility clustering according to the observation of interest rate.Financial markets are very vulnerable to outside interference,such as the government's macroeconomic regulation and control,the volatility of the stock market and the interference of foreign financial market,sometimes there will be a jump phenomenon especially for the interest rate,which gradually becomes a powerful tool for governments' macroeconomic regulation and control,So it's particularly important for interest rate model with jump when we do research.This paper finally choose the Vasicek model with jump,CKLS model with jump and CKLS model.This paper select pseudo maximum likelihood estimation method to estimate model's parameters,constructing the maximum likelihood function based on the transition density function,then estimating the parameter,This article uses the Bootstrap method to solve parameters' confidence interval of 95%,there are correlations in the financial time series while the Bootstrap method is random sampling in the original sample,so it will destroy the correlation which make the test data no longer relate.So in this paper,the Bootstrap method was improved by adding "Bootstrap weight",this won't destroy the relationship of original data and will obtain the confidence interval,there will do the monte carlo simulation after fitting the parameters,compare the fitting values obtained by three kinds of model with the real value respectively and pricing the zero coupon bonds according to the theory of martingale.This article is divided into five chapters.The first chapter is the introduction which contains the research background,significance and main content,this paper introduces the present research about interest rate model at home and abroad.The second chapter mainly introduces the related theory of interest rate model,Including single-factor interest rate models,multi-factor model and jump rates model.The third chapter contains the method of estimation for the interest rate model,which includes the maximum likelihood estimation method,monte carlo simulation,and generalized Bootstrap method.The fourth chapter is the empirical part of this article,which includes data selection,model selection and the improvement.The fifth chapter is conclusion and policy suggestions.the study obviously find that there are jump behavior in short-term interest,the jump rate model has a better fitting effect compared with the normal,short-term interest rate in our country has an average level 2.3%.This article just confirmed the jump behavior of short-term interest rate in our country on data level,however there lack the theoretical research which is a shortcoming.There are still including various interest rate products,This article does not explore the correlation between Shibor and these rates,the interest rate path can also be applied to the coupon Bond and interest rate options' field,it should join in transaction cost,time cost,inflation and deflation in the future research of bond pricing in order to get a good result.