基于CKLS模型的银行间与上交所债券市场国债回购利率行为的比较分析  

An Empirical Comparison of the Dynamic Behavior of Short Interest Rate with Repo Rates in the Inter-bank Market and Shanghai Security Exchange Market of China Based on CKLS Model

作　　者：刘薇[1] 范龙振[1] 

机构地区：[1]复旦大学管理学院,上海200433

出　　处：《预测》2006年第2期54-58,共5页Forecasting

基　　金：国家自然科学基金资助项目(70471010)

摘　　要：本文以银行间债券市场和上交所债券市场国债回购利率的行为为研究对象,利用广义矩估计方法分别估计两个市场的回购利率的CKLS模型。根据模型的经济含义发现,上交所市场的回购利率的长期均衡水平高于银行间市场约17个基点,其均值回复速度明显大于银行间市场。相比之下,银行间市场回购利率的波动对利率水平的高低更敏感。同时,实证分析结果显示,CKLS模型预测银行间市场回购利率变化的能力很弱,但对交易所市场回购利率的变化具有一定的预测能力。在两个市场中,CKLS模型均无法预测实际利率变化的波动情况。Based on the data of 7-day repo rates on both inter-bank bond market and Shanghai Security Exchange bond market in China, CKLS models on the two markets are estimated respectively by GMM. By examining the economic mechanism of the model, it is concluded that the long-term target 7-day repo rate on the SSE bond market is 17bp higher than that on the inter-bank bond market, while the former has a faster mean reversion process than the latter. Our empirical result also indicates that CKLS model is weak in predicting the repo rates＇ change on the inter-bank bond market, while it is moderate in predicting that on the SSE bond market. But the model can＇t predict the volatility of repo rates＇ changes on either of the two markets.

关 键 词：回购利率 CKLS模型 银行间债券市场 上交所债券市场 

分 类 号：F830.3[经济管理—金融学]