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

Data publikacji: 15 gru 2021

Zakres stron: 549 - 556

Otrzymano: 16 cze 2021

Przyjęty: 24 wrz 2021

DOI: https://doi.org/10.2478/amns.2021.1.00066

Słowa kluczowe
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.

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

Data publikacji: 15 gru 2021

Zakres stron: 549 - 556

Otrzymano: 16 cze 2021

Przyjęty: 24 wrz 2021

DOI: https://doi.org/10.2478/amns.2021.1.00066

Słowa kluczoweordinary 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.

Słowa kluczowe
ordinary differential equation, CIR model, Nelson-Siegel model