关键词: 关键词：短期利率, 跳跃－扩散模型, 跳跃强度

Abstract: Abstract: By introducing jump component whose jump intensity is related with macroeconomic variable into the Vasicek model, this paper sets up a more general dynamic jump-diffusion term structure model, compares five different forms of this model and makes empirical study on the jump behavior of Chinese short rate. The results indicate that: (1) Not only are there mean-reversion and diffusion behavior in Chinese short rate, there also exists significant jump behavior in it; (2) The jump intensity of the short rate exhibits significant positive level effect and macroeconomic effect, but level effect of the jump intensity is more significant than macroeconomic effect; (3) Jump behavior, level effect and macroeconomic effect of jump intensity are all indispensable when describing the dynamic behavior of short rate, extant jump-diffusion models are not enough to describe the dynamic behavior of Chinese short rate; (4) When adding jump component, macroeconomic effect and level effect into the constant volatility model one by one, the goodness of fit of the models improve gradually and significantly.

Key words: Key words: Short rate, Jump-diffusion model, Jump intensity