上海银行间同业拆放利率协整分析  

Cointegration Analysis of Shanghai Interbank Offered Rate

作　　者：曾黎[1] 李春[1] 

机构地区：[1]红河学院数学学院,云南蒙自661100

出　　处：《云南民族大学学报（自然科学版）》2012年第2期112-114,129,共4页Journal of Yunnan Minzu University:Natural Sciences Edition

基　　金：云南省自然科学基金(2008CD186);红河学院博士;硕士科研启动项目(XJ1S0923)

摘　　要：利用协整检验和单位根检验相关理论,对上海银行间同业拆放利率中8个利率品种之间的关系进行了实证研究.结果显示,除了中长端利率中的(M6,M9)和(M6,Y1)组合外,SHIBOR(Shanghai Interbank Offered Rate)利率其他组合都具备长期均衡的协整关系.此外,通过对协整系数分析发现中长端利率各品种相互影响的程度更大一些.This paper conducts an experimental research on eight interest rate varieties of SHIBOR with the theory of Cointegration Test and ADF unit root test. The paper reaches the following conclusion that all the varieties have a stable effect except M6, M9, M6 and Y1. In addition,through cointegrating the coefficients, it has been found that the long - term SHIBOR has a greater degree of mutual influence.

关 键 词：同业拆放利率 ADF单位根检验 JOHANSEN协整检验 

分 类 号：F830.9[经济管理—金融学]