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 component | The second principal component |
| O/N | 0.3294 | −0.4278 | 1 week | 0.3459 | −0.3992 | 2 weeks | 0.3506 | −0.3514 | 1 month | 0.3634 | −0.2319 | 3 months | 0.3702 | 0.2209 | 6 months | 0.3573 | 0.3730 | 9 months | 0.3553 | 0.3831 | 1 year | 0.3548 | 0.3816 |
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