Research Article

Studying Term Structure of SHIBOR with the Two-Factor Vasicek Model

Table 2

The coefficient of the first two principal components of different terms of SHIBOR.

Term The first principal componentThe second principal component

O/N0.3294−0.4278
1 week 0.3459−0.3992
2 weeks 0.3506−0.3514
1 month 0.3634−0.2319
3 months 0.37020.2209
6 months 0.35730.3730
9 months 0.35530.3831
1 year0.35480.3816