质押式回购利率的风险度量研究——基于ARMA-GARCH模型的实证检验  

Risk Measurement of Pledged Repo Interest Rate:Empirical Study Based on ARMA-GARCH Model

作　　者：王德全[1] 

机构地区：[1]北京大学软件与微电子学院,北京102600

出　　处：《财经研究》2009年第8期15-25,共11页Journal of Finance and Economics

摘　　要：文章对2002年1月4日至2009年3月31日我国银行间质押式回购市场进行实证研究,结果表明:(1)t-分布和g-分布下的模型能更好地捕捉回购利率序列的尖峰厚尾性;(2)回购利率波动具有显著的非对称性,利率上升时的波动更大;(3)ARMA-PARCH-M模型是估计回购利率VaR值的理想模型,t-分布下的模型适合多头头寸VaR值的预测,而g-分布下的模型适合空头头寸VaR值的预测。这说明我国回购市场的利率风险较高。The paper makes an empirical study on the imer-bank bond pledged repo market in China from Jan. 4, 2002 to March 31, 2009. The empiri- cal results show that models with t-distribution and g-distribution can better portray the heavy-tailed feature of leptokurtosis of repo interest rate series. The repo interest rate volatility is significantly asymmetric and is bigger when the interest rate rises. ARMA-GARCH model with t-distribution is fit for the estimation of VaR of long position, and ARMA-GARCH model with g-distribution is suitable to measure VaR of short position. It indicates that the interest rate risk in our repo market is higher.

关 键 词：ARMA-GARCH模型 VAR 质押式回购利率 利率风险 

分 类 号：F830.45[经济管理—金融学]