我国银行间同业拆借利率的动态研究——基于跳跃-扩散-机制转换模型的实证分析  

Study on dynamic behavior of Chinese interbank offered rate: The empircal analysis based on jump-diffusion-regime switching model

作　　者：吴吉林[1] 张二华[2] 原鹏飞 

机构地区：[1]山东大学经济研究院,济南250100 [2]上海财经大学经济学院,上海200439 [3]国家统计局统计科学研究所,北京100826

出　　处：《管理科学学报》2011年第11期33-41,共9页Journal of Management Sciences in China

摘　　要：针对我国短期利率易受政策影响,波动较大并存在结构变化等特点,构建了跳跃-扩散-机制转换模型,同时考察了银行间7天同业拆借利率的波动、跳跃和结构变化三种效应,发现我国同业拆借利率不仅具有均值回归特性而且还存在明显的跳跃与机制转换,并且该模型比其嵌套的受限模型表现更佳.在高波动状态下利率波动的水平效应和ARCH效应可以忽略;低波动状态下,水平效应可以忽略.另外,跳跃具有聚类效应,高(低)的跳跃概率和高(低)状态概率对应着高(低)利率和较高(低)的波动率,跳跃主要发生在高状态机制下,低状态机制下发生跳跃的可能性很小.In view of policy impacts, big volatility and possible structural changes in Chinese short rate, this paper proposes a jump-diffusion-regime switching model, and then uses it to study volatility, jump and regime switch effects in Chinese 7-day interbank offered rates, we find there exists not only mean-reversion but also jump and regime switch effects in the rate . The model is much better than any other nested models that only consider two effects. We also find the level effects and ARCH effects in volatility are negligible in high-volatility regime, and the level effects can be omitted in low-volatility regime. Additionally, the jump exhibits clustering effects. High（low）-jump probability and high（low） regime probability are matched with high（low） interest rate and high（low） volatility,jump almost occurs in high regime probability.

关 键 词：同业拆借利率 跳跃 扩散 机制转换 ARCH效应 

分 类 号：F832[经济管理—金融学]