<abstract xmlns="http://www.w3.org/1999/xhtml">

<p>To reflect the country's economic growth, inflation and the implementation of monetary policies. Based on the monthly data of national debt yield from January 2015 to December 2019, these data are divided into 1 year to 30 years according to the maturity period, and the principal component analysis of the term structure of interest rate from 2012 to 2017 shows that the factors affecting the change of term structure of interest rate include level factor, skew factor and curve factor. The variance contribution rates of these factors to the variation of interest rate term structure curve are 82.2002%, 16.9948% and 0.6283% respectively. The horizontal factor represents the position of the term structure of interest rate, the skew factor represents the degree of skew of the term structure of interest rate, and the curve factor determines the interest rate.</p>
</abstract>

To reflect the country's economic growth, inflation and the implementation of monetary policies. Based on the monthly data of national debt yield from January 2015 to December 2019, these data are divided into 1 year to 30 years according to the maturity period, and the principal component analysis of the term structure of interest rate from 2012 to 2017 shows that the factors affecting the change of term structure of interest rate include level factor, skew factor and curve factor. The variance contribution rates of these factors to the variation of interest rate term structure curve are 82.2002%, 16.9948% and 0.6283% respectively. The horizontal factor represents the position of the term structure of interest rate, the skew factor represents the degree of skew of the term structure of interest rate, and the curve factor determines the interest rate.

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

Department of Computer Science, Faculty of Computing and Information Technology

Applied Mathematics and Nonlinear Sciences

This work is licensed under the Creative Commons Attribution 4.0 International License.

To reflect the country's economic growth, inflation and the implementation of monetary policies. Based on the monthly data of national debt yield from January...

The variable name	δ₀	δ_cc	δ_m2	δ_ppi	δ_um

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)
Regression results	(t = _5.2_5)	(t = 2.13)	(t = 1.98)	(t = 3.03)	(t = 6.08)

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

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

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

Mots clés
ordinary differential equation, CIR model, Nelson-Siegel model

© 2021 Yaling Chen et al., published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

Fig. 1

Fig. 2

Fitting results of state variables to short-term interest rates

Descriptive statistics of government bond yields

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

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

Mots clésordinary differential equation, CIR model, Nelson-Siegel model

© 2021 Yaling Chen et al., published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

Fig. 1

Fig. 2

Fitting results of state variables to short-term interest rates

Descriptive statistics of government bond yields

Mots clés
ordinary differential equation, CIR model, Nelson-Siegel model