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Chinese Journal of Management Science ›› 2003, Vol. ›› Issue (1): 28-32.

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Brown Motion and Duration Method in Government Bonds’ Price Behavior

CAI Ming-chao, YANG Chao-jun, ZHANG Jing   

  1. Management School, Shanghai Jiaotong University, Shanghai 200052, China
  • Received:2001-03-26 Revised:2002-05-20 Online:2003-02-28 Published:2012-03-06

Abstract: Brown Bridge model and Macaulay Duration model are adopted to study the risk characters of Chinese government bondsWe find that maturity and holding period are two important factors that influence bond risk,but bond price doesn’tIn Brown Bridge model fluctuation ratio fits well than variance as an indicator of risk.

Key words: Brown bridge model, macaulay duration, monetary policy

CLC Number: