中国银行间同业拆借市场利率结构转换研究  

An Analysis on Regime-Switching of Interest Rate in the Inter-Bank Market of China

作　　者：陈晖[1] 谢赤[1] 

机构地区：[1]湖南大学工商管理学院,湖南长沙410082

出　　处：《管理科学》2004年第4期65-70,共6页Journal of Management Science

基　　金：国家自然科学基金资助项目(79970015);国家社会科学基金资助项目(03BJY099);教育部博士学位点专项科研基金资助项目(20020532005);第三届全国高校青年教师奖励基金资助项目

摘　　要：利用Gray提出的一般利率结构转换模型对中国银行间30天同业拆借利率进行实证研究,发现中国银行间30天同业拆借市场确实存在结构转换现象。同时,在利率波动较小时其存在均值回复现象,而当利率波动较大时带有制度转换的GARCH(1,1)模型则显示不存在均值回复现象。In this paper we made use of the general regime-switching model proposed by Gray and the data of the 30-day inter-bank market of China to study the behavior of the interest rates. After research, we found that there did exist regime-switching in the market. We also found that when the volatility was low, the interest rates showed mean reversion to the long-run mean, while the volatility was high, the GARCH(1,1) model with regime-switching showed no sign of mean reversion.

关 键 词：结构转换 单结构模型 一般结构转换模型 

分 类 号：F832[经济管理—金融学]