中国短期利率的随机波动与区制转移性  

Stochastic volatilities and regime shifts of China's short-term interest rates

作　　者：郑挺国[1] 宋涛[2] 

机构地区：[1]厦门大学王亚南经济研究院,厦门361005 [2]厦门大学经济学院经济研究所,厦门361005

出　　处：《管理科学学报》2011年第1期38-49,共12页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(71001087;70971055);福建省自然科学基金资助项目(2010J01361);厦门大学引进人才科研启动基金项目

摘　　要：短期利率动态一直是金融领域研究的热点和难点,是对利率衍生产品定价和风险管理不可缺少的工具.本文从利率波动随机行为和区制转移特征两个视角对短期利率动态进行扩展,利用粒子滤波方法给出利率区制转移随机波动模型的参数估计和状态估计,并运用该模型对我国短期拆借利率展开实证分析.研究结果表明我国短期利率除具有典型的波动随机行为外,还存在显著的区制转移特征,BS-MSSV模型对短期利率动态的拟合效果最优,而且证实忽视波动均值的区制转移特征会导致利率波动持续性高估,并使得利率动态拟合变差.In recent years, there have been growing studies in financial area on the dynamics of short-term interest rates, since it is an indispensable tool for interest rate derivatives pricing and risk management. This paper extends the short-rate dynamics from two perspectives： Stochastic volatility and regime switching, respectively. A novel method called particle filter is selected to estimate parameters and unobservable state variables for our Markov switching stochastic volatility model. Then we take our empirical analysis on China＇ s short- term inter-bank borrowing interest rate. The results show that the short-rate has both stochastic volatility behavior and regime switching characteristic, and the BS-MSSV model is best for describing the short-rate dynamics. Moreover, our study confirms that neglecting regime switching of volatility mean would lead to overestimating the volatility persistence and worsen the modeling performance.

关 键 词：短期利率 随机波动 区制转移 粒子滤波 

分 类 号：F830.9[经济管理—金融学]