关键词: 仿射模型, 利率期限结构, Vasicek-AR(1)模型, Vasicek模型

Abstract: On the basis of statistical analysis of interest rate on China’s national bonds market return rate and the dynamic test results of Vasicek model, this paper sets the changing process of state variables as AR(1),AR(2),ARMA(1,1) and Random Walk types and mainly compares the imitative effects with the Vasicek model. It is found that the Vasicek model, with the changing process of CCI, Natural logarithm of M2, PPI and China's urban unemployment rate setting as AR(1) , has a better performance on both predicting and fitting the return interest rate of national bonds than the Vasicek model. It means Vasicek-AR(1)model could more precisely describes the dynamic characteristics of interest term structure of China’s national bonds market.

Key words: Affine Mmodel, Tterm Sstructure of Iinterest Rrate, Vasicek-AR(1) Mmodel, Vasicek Mmodel