银行间市场回购利率变化的利率模型解释  

Analyzing repo rates in the inter-bank market with essential affine models

作　　者：范龙振[1] 

机构地区：[1]复旦大学管理学院,上海200433

出　　处：《系统工程学报》2007年第1期27-33,共7页Journal of Systems Engineering

基　　金：国家自然科学基金资助项目(70471010);教育部新世纪优秀人才计划资助项目

摘　　要：在中国银行间市场的回购市场上,回购利率具有明显的期间风险溢酬,风险溢酬随时间变化,并与回购利率期限结构水平明显相关.文章试图构造单因子、两因子本性仿射模型来解释回购利率的变化及风险溢酬,发现两因子本性仿射模型与单因子本性仿射模型相比,对回购利率期限结构变化的描述没有明显改进.回购利率期限结构扣除单因子模型给出的利率风险溢酬后,服从纯预期假设,单因子本性仿射模型可以解释银行间市场回购利率风险溢酬的变化.In the inter-bank market of China, repo rate has obvious term-premium. The term-premium is time-varying, and is obviously related to the level of the term structure of repo rates. One-factor, two-factor essential affine models are constructed to explain the term premium. It is found that, compared with one-factor model, two-factor model shows no obvious improvement in describing the changes of the repo rates. The repo rates, after deducting the premium imposed by one-factor essential affine model, are in accordance with pure expectations hypothesis, and one-factor essential affine model can explain the timevarying term premium of repo rates in the inter-bank market.

关 键 词：回购利率 期间风险溢酬 预期假设 本性仿射模型 

分 类 号：F830.91[经济管理—金融学]