Abstract
Nelson-Siegel model (NS model) and 2 extended NS models were compared by using daily interbank government bond data.Based on the grouping of bonds according to the residual term to maturity, the empirical research proceeded with in-sample and out-of-sample tests. The results show that the 3 models are almost equivalent in estimating interbank term structure of interest rates.Within the term to maturities between 0 and 7 years, the gap of the absolute errors of the 3 models between in-sample and out-of-sample is smaller than 0.2 Yuan, and the absolute values of the in-sample and out-of-sample errors are smaller than 0.1 Yuan, sothe estimation is credible. Within the term to maturities between 7 and 20 years, the gap of the absolute errors of the 3 modelsbetween in-sample and out-of-sample is larger than 0.4 Yuan, and the absolute values of the in-sample and out-of-sample errors arelarger than 1.0 Yuan, so the estimation is incredible.
Key words Interbank bond market; Term structure of interest rate; Estimation
Article ID: 1005-2429(2006)03-0285-06
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原版页码：285,286,287,288,289,290原版全文
