利率期限结构形成的理论分析与实证检验  

Theoretical analysis and empirical test on the formation of term structure of interest rates

作　　者：胡海鹏[1] 方兆本[1] 

机构地区：[1]中国科学技术大学管理学院,安徽合肥230026

出　　处：《中国科学技术大学学报》2006年第12期1266-1274,1280,共10页JUSTC

基　　金：国家自然科学基金(70141015)资助

摘　　要：采用上海证券交易所债券市场2001-09-01到2005-02-28的每周国债收盘价格为研究样本,利用回归分析、单位根检验以及向量自回归这些现代金融计量方法对利率期限结构的形成假设理论进行验证和剖析,并提出了利用EGARCH-M模型来刻画某些长短期利率间期限溢价的动态变化特征.实证结果表明,上交所国债市场利率期限结构中,短期部分利率间的关系能够由市场预期假设来解释,长期部分对市场预期假设的支持能力较弱,而中短期利率间的相互影响则更多地支持了流动性偏好和优先置产理论.Using the weekly data on the SSE （Shanghai Stock Exchange） bond market from 2001-09-01 to 2005-02-28, the expectations hypothesis of the term structure was tested and analyzed with the modern financial econometric methods of regressive analysis, unit root test and vector autoregressive. Then, the EGARCH-M model was introduced to describe the time varying term premium. The results of empirical research appear to give more support to the expectations hypothesis at the short segment of the term structure but less at the longer part. Also the empirical results are favorable for the liquidity preference theory and the preferred habitat theory between the short and middle segments of the term structure.

关 键 词：利率期限结构 预期假设 向量自回归 EGARCH—M模型 

分 类 号：F823[经济管理—财政学]