CAJ | 학술논문

本文主要对利率期限结构的理论研究做综述，以20世纪70年代初和90年代末为分界线，70年代以前称为传统的利率期限结构，主要以描述性研究为主；70年代以后称为现代利率期限结构，主要以随机模型研究为主；从20世纪90年代末，开始了两极分化发展。本文分为三个部分：第一部分对20世纪70年代之前传统利率期限结构的描述性理论作了概括；第二部分是现代利率期限结构的定量模型，包括均衡模型和无套利模型；第三部分则主要介绍20世纪90年代末以来的一些最新研究进展，包括市场模型和宏观金融模型等。
본문주요대리솔기한결구적이론연구주종술，이20세기70년대초화90년대말위분계선，70년대이전칭위전통적리솔기한결구，주요이묘술성연구위주；70년대이후칭위현대리솔기한결구，주요이수궤모형연구위주；종20세기90년대말，개시료량겁분화발전。본문분위삼개부분：제일부분대20세기70년대지전전통리솔기한결구적묘술성이론작료개괄；제이부분시현대리솔기한결구적정량모형，포괄균형모형화무투리모형；제삼부분칙주요개소20세기90년대말이래적일사최신연구진전，포괄시장모형화굉관금융모형등。
This paper is mainly about a literature review of the term structure theory of interest rates. Taking the early 1970s and the late 1990s as the dividing line, previous studies of 1970s was called traditional term structure, mainly based on descriptive study. After the 1970s, it was known as the modern term structure, mainly based on sto-chastic model research. Since the late 1990s, the polarized development began. This paper is divided into three parts. The first part is a summary of the descriptive theory before the 1970s. The second part is the quantitative model of mod-ern term structure of interest rates, including the equilibrium models and the no-arbitrage model. The third part intro-duces some latest research progress since the late 1990s, including market model and macro-financial model.