基于动态跳跃的中国短期利率研究:1997—2010  

Empirical study of Chinese repurchase rates by dynamic jump model: 1997-2010

作　　者：李少育[1] 

机构地区：[1]西南财经大学证券与期货学院,成都611130

出　　处：《管理科学学报》2012年第12期79-90,共12页Journal of Management Sciences in China

摘　　要：短期利率研究对固定收益定价和风险管理具有重要意义.把GARCH-Jump及其动态扩展形式引入到VASICEK短期利率模型中,拟合了中国的短期利率过程,检验了理性投资者人假说.实证结果表明:中国的短期利率过程不仅存在GARCH波动,还存在动态的跳跃波动因素;非参数检验表明以贝叶斯决策过程为设定条件的动态跳跃模型,对短期利率拟合得更好,并且预测能力更优,从而验证了中国短期利率市场的投资者在应对异常事件时采取贝叶斯理性决策法则;短期利率跳跃模型对投机和宏观信息冲击有一定的解释能力.Short-term interest rate models play a significant role on fixed income pricing and risk management. This paper combines the VASICEK interest rate diffusion model with GARCH-Jump model and dynamic jump models to investigate Chinese short interest rate processes and test the rational investor hypothesis. The results of the research are as follows： Chinese short interest rate behaves a significant mean reverting process, and there exists not only the volatility of GARCH but also the dynamic jump volatility factors; Non-parametric test shows that the dynamic jump models based on the setup of Bayes decision rules can improve the goodness of fit, it also strengthens the predictive ability and suggests that investors in the short interest rate market follow the Bayes rational decision rule to deal with abnormal events; The dynamic jump model has certain capacity of explaining the speculative activities or crashes of the macro-economic policies.

关 键 词：短期利率 跳跃强度 贝叶斯决策法则 跳跃尺度 

分 类 号：F830.9[经济管理—金融学]