中国货币市场基准利率体系的均值和波动溢出效应研究  

A Study on the Mean and Volatility Spillover Effects of Benchmark Interest Rates in China's Money Market

作　　者：赵华[1,2] 崔婧[3] 

机构地区：[1]北京大学中国金融研究中心 [2]厦门大学经济学院 [3]厦门大学经济学院金融系

出　　处：《投资研究》2013年第7期72-83,共12页Review of Investment Studies

基　　金：国家社会科学基金项目(11CJY096);中央高校基本科研业务费专项基金(2010221055)的资助

摘　　要：本文运用三变量VAR-MGARCH模型分析了不同期限的货币市场基准利率候选者──国债回购利率、Shibor以及全国银行间同业拆借利率──之间的动态变化关系。研究发现,所有期限Shibor的波动性均小于回购利率和全国银行间同业拆借利率,不同期限的利率之间的溢出关系不同。其中,在短期货币市场利率中存在从回购利率到Shibor和全国银行间同业拆借利率的均值和波动溢出,回购利率在均值和波动溢出上均具有主导作用。在中期货币市场利率中,存在从Shibor到回购利率和全国银行间同业拆借利率的均值溢出效应,而回购利率仅在波动溢出中起主导作用。在长期货币市场利率中,存在从回购利率到全国银行间同业拆借利率的均值和波动溢出效应,而Shibor不具有波动聚集性①。The paper analyzes the dynamic relationship between different-term benchmark interest rate candidates： bonds repurchase rate, Shibor and Chibor, with three-variable VAR-MGARCH model. The results show that the volatility for all-term Shi- bor is less than that of the repurchase rate and the Chibor, and that the spillover effect for different-term interest rates is different. There are mean and volatility spillover effects from repurchase rate to Shibor and Chibor in the short-term. And the repurchase rate is the leader in the short-term mean and volatility spillovers. Moreover, there are the mean spillover effects from Shibor to repurchase rate and Chibor in the medium-term, whereas repurchase rate dominates only in the volatility spillover. Besides, there are the mean and the volatility spillovers from repurchase rate to Chibor in the long-term, but long-term Shibor does not have the volatility clustering.

关 键 词：基准利率 波动溢出 货币市场 

分 类 号：F832.5[经济管理—金融学] F224