This paper intuitively examines the dynamic behavior of two highly relevant interest rates in China. The first one is the government rate, which is decided and published by the central bank and can be simulated by pure jump process. Estimation of the jump intension is given out. And by different robustness test, it keeps stable. The jump size has met the condition to make interest rate within reasonable bounds and shows some meaning of economic cycle behavior. The second one is the market rate, which is estimated by spline approximation based on the transaction data of government bonds. Several models, including Vasicek model, Vasicek-GARCH (1,1) model, CIR model, and CIR-GARCH(1,1), are empirically tested and the best performance is done by the Vasicek-GARCH(1,1) model. Furthermore, the estimate bias problem due to the near unit root process is tested and evidenced by both traditional methods and GPH test. Impact of government rate on market rate is finally checked and analyzed.

利率期限结构是资产定价、金融产品设计、保值和风险管理、套利以及投机资等的基础。因此，对利率期限结构的估计是金融工程领域一个十分基础的工作。本文则是在这方面进行的一个尝试性研究工作。对利率期限结构的估计，可以有许多方法，其中包括息票剥离法（bootstrap method）和样条估计法（spline approximation）。本文则同时利用这两种方法对中国2001-2002的利率期限结构进行一个静态的估计，比较两种估计方法的静态估计结果并在此基础上分析中国利率期限结构的变化特征。 The term structure of interest rate is the foundation of Asset pricing, financial products design, hedging and risk management, arbitraging and Investment. For this reason, the estimation of term structure of interest rate is a fundamental research work in the field of financial engineering. This paper is a trial on this subject. There exist many methods to estimate to term structure, which include the bootstrap method and spline approximation. This paper uses both methods to make a static approximation of term structure of interest rate in China from 2001 to 2002, compares the static estimation results of two approximation methods, and then analyzes the dynamic change of term structure of interest rate in China.