短期利率

本文通过引入转移概率参数，证明了短期利率满足的一般动态变化方程，建立了离散形式的利率期限结构模型，讨论求解方法，从而拓展了BDT模型。

By introducing the transition probability parameter , we show that the general dynamic equation for which short interest rate satisfies and set up the discrete term structure model , which extends BDT model .

股票债券市场中一般的随机规划问题短期利率模型在上交所债券市场上的实证分析

ON STOCHASTIC PROGRAMMING PROBLEM IN SECURITY MARKETS Empirical analysis of short interest rate models with half-year interest rate in the Shanghai Stock Exchange

通胀下降是因为美联储（fed）收紧了货币政策，并允许短期利率大幅上升。

Inflation fell because the Federal Reserve tightened monetary conditions and allowed short-term interest rates to rise sharply .

美国商务部（DepartmentofCommerce）的GDP数据出炉之际，美联储（Fed）的政策制定者开会辩论何时提高短期利率。

The Department of Commerce numbers came as Federal Reserve policy makers met to debate when to raise short-term interest rates .

5年前，以美联储（fed）为首的各国央行为此感到焦虑，并大幅调降短期利率。

Five years ago , central banks led by the US Federal Reserve fretted and cut short-term interest rates aggressively .

瑞士央行（SwissNationalBank）进行了反击，将短期利率压低至零以下，将大量现金注入银行体系，并抛售瑞郎。

The Swiss National Bank has fought back by pushing short-term interest rates below zero , flooding the banking system with cash and selling francs .

目前，几乎无人预期美联储（fed）将把短期利率从接近零的历史低位上调。

For the time being , few people expect the US Federal Reserve to raise short-term interest rates from their historic lows close to zero .

由于美国经济濒临衰退，美联储（fed）宣称要把接近于零的短期利率保持到2013年年中。

With the US teetering on the brink of recession , the Federal Reserve has vowed to keep short-term interest rates close to zero until mid-2013 .

此外，凭借利率走廊（interestratecorridor），如果需要持续的信贷支持，该框架还允许央行在维持某些非常规措施的同时，调整短期利率。

Moreover , with its interest rate corridor , the framework allows short-term interest rates to be changed while keeping some non-standard measures in place , should continued credit support be needed .

在多因素模型中，随机波动模型比ARCH模型能更好的描述短期利率变化的尖峰厚尾和波动群聚特征。

Among the multi-factor models , the stochastic volatility model effectively catches the leptokurtosis and volatility clustering characters of the behavior of short-term interest rate relative to ARCH model .

如果不对短期利率的预期走势做出某些调整，那么一旦美联储把国债的期限溢价（termpremium）压缩至正常水平，它可能就很难再推低收益率。

Once the Fed has compressed term premiums on Treasuries to normal levels it could struggle to push yields lower , absent some change in the expected path of short-term rates .

然后利用EMM法实证分析了常用的连续时间的单因子和两因子短期利率模型。

By the EMM approach , continuous-time interest rate models are estimated and tested .

从2008年10月起，欧洲央行（ecb）在7个月里将短期利率调降3.25个百分点；日本央行（bankofjapan）用了20个月时间才做出这种幅度的调整。

Starting in October 2008 , the European Central Bank cut short-term interest rates by 3.25 percentage points in seven months ; the Bank of Japan took 20 months to cut by that amount .

基准短期利率和德国国债期货95%的交易，会在合并后的db/nyse进行。

Db / NYSE would , have ended up with 95 per cent of trading in benchmark short-term interest-rate and German government bond futures .

尽管有迹象表明经济增长加快了，但美联储（FederalReserve）依然对提高短期利率持谨慎态度。自金融危机最严重的2008年以来，美国的短期利率一直处于接近零的水平。

Despite signs of faster growth , the Federal Reserve remains cautious about raising short-term interest rates from near zero , where they have been since the depths of the financial crisis in 2008 .

不过，也存在一种令人感兴趣的微弱可能性，即美联储可能会效仿加拿大央行（bankofcanada），设定一个期望将短期利率保持在接近零水平的明确时间框架。

There is , though , a small but intriguing possibility that the Fed could follow the Bank of Canada in setting out an explicit timeframe over which it expects to keep short-term rates at virtually zero .

摩根大通（JPMorgan）的经济学家在近期发表的《全球数据观察》（GlobalDataWatch）中指出：在某些情况下，本币兑美元汇率下跌促使资本外流，挤压国内银行流动性，推高短期利率。

In some instances , the decline of local currencies against the dollar has prompted capital outflows , squeezing domestic bank liquidity and pushing up short-term rates , the economists of JPMorgan noted in a recent Global Data Watch .

IMF提出，通胀风险降低没有起到助力长期利率降低的作用，因为“期限利差”——指短期利率与长期利率之间的差值——并未下降。

The IMF argues that declining inflation risk has not contributed to the fall in long-term rates , since the " term spread " - the gap between short and longer-term rates - has not fallen .

迈克尔•雅各布（MichaelJacobs）是MetTraders的独立自营交易员，在短期利率期货市场每天的交易额动辄成百上千万欧元。他表示，上周四是今年最繁忙的日子之一。

Michael Jacobs , an independent proprietary trader who trades millions of euros a day in short-term interest rate futures for his company Met Traders , said Thursday was one of the busiest days of the year .

鉴于短期利率牢牢锁定在接近于零，对美联储（fed）加息的预期远远推迟到2011年，甚至有时是2012年，债券交易活动大多围绕着长期美国国债的表现。

With short-term rates anchored near zero and expectations for a Fed rate hike being pushed out well into 2011 , and even towards 2012 in some quarters , much of the trading action in bonds centres on the behaviour of long-term Treasuries .

传统货币政策已尽其所能：短期利率接近于零，商业银行坐拥1万亿美元超额准备金，货币供应增长速度超过名义国内生产总值（GDP）。

Traditional monetary policy has already done what it can : short-term interest rates are close to zero , commercial banks hold a trillion dollars of excess reserves , and the money supply is growing more rapidly than nominal gross domestic product .

在公开讲话中，伯南克解释了联邦公开市场委员会（FOMC）保持短期利率接近零的决定。

In his opening comments . Mr. Bernanke explained a decision by the Federal Open Market Committee to leave its main short-term interest rate near zero .

他没把短期利率和长期利率区分开，前者很大程度上受英国央行（boe）影响，后者则是市场的产物。

He did not distinguish between short term rates , which are heavily influenced by the Bank of England , and long term rates , which are a market phenomenon .

事实上，它已经把短期利率调到零，而且已经通过用新发行的货币购买政府债券，推出了两轮量化宽松货币政策（QE）。

It has already , in effect , lowered short-term interest rates to zero , and carried out two rounds of quantitative easing ( QE ), the purchase of government bonds with newly printed money .

文章通过估计和检验结构VAR模型，发现货币冲击、供给冲击和价格冲击都对短期利率产生了持续显著的影响，而对长期利率则没有显著作用效果。

By estimating and testing the structural VAR model , we find that the monetary shock , supply shock and price shock have significant and persistent effects on the short term interest rates , but have no significant effects on long term interest rates .

此篇论文使用的工具是货币状况指数（MCI），该指数是指相比在给定的基期，短期利率和汇率的加权平均值的变化。

The tool used within this paper is the " Monetary Conditions Index "( MCI ), which is defined as weighted average of changes in short-term interest and exchange rate in comparison to their values in a given base period .

实证结果表明所有的单因子短期利率模型都不能很好地描述中国上海证券交易所债券市场上的短期利率变化，CKLS模型是它们中表现最好的单因子利率模型。

The results show that all the single-factor models cannot match dynamic change of the short interest rate , and the CKLS model does the best among them .

然后借助五种GARCH类模型对上海银行间同业拆放短期利率各个方面的波动特征进行实证研究，得出模拟SHIBOR隔夜利率序列及一周利率序列波动最佳的模型。

And then various aspects in short-term interest rate characteristics have empirically researched with five GARCH type models , obtained the best model on simulation SHIBOR overnight rate sequences and sequences of the week fluctuations in interest rates .

同时也发现，短期利率的波动也存在水平效应偏高的特点，这一点通过对比国内外CKLS模型的实证结果证实。

We also fund , the level effect of interest rates fluctuation was higher . This point was confirmed by comparing empirical results of the domestic and foreign CKLS model .

结果发现，在单因素模型中，CKLS模型相对于CIR等其它单因素模型能较好的描述金融市场短期利率的变化。

As a result , the author finds that CKLS model is the optimal one of the various single-factor models , which describes the behavior of interest rate in financial market more effectively than other single-factor models .