上海证券交易所回购利率期限结构的风险溢酬  

Risk Premium of the Term Structure of Repo Rates in the Shanghai Stock Exchange

作　　者：范龙振[1] 施婷[1] 

机构地区：[1]复旦大学管理学院,上海200433

出　　处：《系统工程理论方法应用》2006年第4期359-363,372,共6页Systems Engineering Theory·Methodology·Applications

基　　金：国家自然科学基金资助项目(70471010)

摘　　要：利用1999-01-04～2004-11-08的周样本数据，发现上交所回购市场上，回购利率期限结构具有显著的风险溢酬，利率期限结构的纯预期假设不成立。进一步分析发现，风险溢酬与利率期限结构的斜率明显相关．斜率越大，风险溢酬越大。利率期限结构的斜率还可以预测短期利率的变化。但风险溢酬与短期利率的波动率相关关系较弱，利率波动风险不是风险溢酬的主要决定因素。考虑到利率变化的高持续性，对回归估计量的小样本分布进行模拟分析发现，上述判断仍然成立。With weekly data of repo term structures in the Shanghai Stock Exchange from January 4 1999 to November 8 2004, it is found that term structure of repo rates has obvious risk premium, and pure expectations hypothesis can＇t explain the term structure behavior. Further analysis finds that risk premium is positively related with the slope of the repo interest rate, but it shows weak relation with the volatility of the interest rates, and interest rate risk is not the main determinant of the risk premium. It is also found that short rate change can be predicted with the slope of interest rates. Given high persistent change of interest rates, bootstrap simulation is used to determine the small sample properties of the regression statistics. and the same conclusions are obtained based on the small sample distribution of the estimates.

关 键 词：回购利率 风险溢酬 预期假设 波动率 

分 类 号：F830.9[经济管理—金融学]