关键词: 无套利, 利率期限结构, 卡尔曼滤波估计, 极大似然估计

Abstract: In this paper, we use Kalman filter estimation and maximum likelihood estimation to modeling no-arbitrage term structure of interest rates and monetary policy model in China, and the empirical analysis finds that the shock of the inflation target on term structure of interest rate is expansionary and sustainable, and it is rising for all maturities; The effect of monetary policy shocks is decreasing, but the monetary policy shock on the slope of term structure of interest rates is significant. The impact of inflation on the interest rate term structure curve is of more significance. The prediction out of model made in this paper is found to be much better than that made by VAR model. The model proposed in this paper can help to predict the term structure of interest rate, and can help the central bank to develop forward-looking and effective monetary policy.

Key words: No-arbitrage, Term Structure of Interest Rate, Kalman Filter Estimation, Maximum Likelihood Estimation