1、摘要 Lioui,Poncet(2003)之前的一般均衡模型，导出了实际利率的动态随机过程，然而由于现实世界只能观测到名义利率，大多数学者在对其做实证研究时往往用名义利率替代实际利率。Lioui,Poncet(2003)通过引入通货膨胀的不确定性，最终导出名义利率的动态随机过程。 本文使用美联储发布的从 1961 年 6 月 14 日到 2009 年 2 月 20 日一个月期的美国国债利率数据，对 Lioui,Poncet(2003)一般均衡框架下的短期利率模型进行了实证研究。在不同假设条件下，我们导出短期名义利率动态随机过程的矩生成函数，进而选取前四阶矩条件并使用 GMM 方法估计模型参数。
2、我们发现对波动项为平方根和线性结构形式的名义利率动态模型以及 CIR 模型的实证结果都接受漂移项参数为零的原假设，表明当选用 1961 年 6 月 14 日到 2009 年 2 月 20 日的历史数据时，三个模型都不具备明显的预测能力，模型退化成只带波动项的名义利率动态随机过程，并且当利率水平越高时波动越大。另外，由于模型内在机制使得待检验的两个模型不能产生向上的漂移趋势，我们选取了 1981 年 9 月 4 日到 1986 年 12 月 12 日的历史数据，发现使用 GMM 方法对波动项为平方根的名义利率动态模型进行参数的估计结果都是显著的，表明这个模型能够较好的描述这段历史的名义利率的动态
3、过程。 关键词：均衡；利率；非中性 Abstract Before the work of Lioui and Poncet(2003), general equilibrium models derived the real interest rate stochastic dynamic processes, but there is no such real interest rate data in the world, so most of the scholars used the nominal interest rate data to replace the real int
4、erest rate. By introducing the uncertainty of inflation to the framework of general equilibrium model, Lioui and Poncet(2003) derived the stochastic dynamic process of nominal interest rate. This paper used the data of US T-bills return with one month maturity from June 14th 1961 to February 20th 20
5、09 to do empirical research on nominal interest rate stochastic process of Lioui and Poncet(2003). We discussed the mechanism of the model, by using the mathematic tools such as stochastic calculus, the moment generating function of the model is derived and then we chose the first four moments to es
6、timate the parameters. We found that the estimated drift parameters were insignificant in the both models, indicating that the one month US nominal interest rate was not predictable by using these two models and classic CIR model. However, when we looked in to another dataset with downward trend pro
7、perty, the estimation of all the three parameter of the square root volatility process were significant, this implies that the model captures the evolution of the nominal interest rate well from September 4th, 1981 to December 12th, 1986. Key words: Nominal Interest rate; General Equilibrium; Non- neutrality.
