金融市场利率波动对集合资金信托产品预期收益率的影响——基于协整检验和VAR脉冲分析  

How Interest Rate Fluctuations in Financial Markets Affect Trust Funds Collection Products' Expected Rate of Return: Based on Cointegration Tests and VAR Impulse Analysis

作　　者：李红[1] 付欢[1] 

机构地区：[1]南昌大学经管学院,江西南昌330031

出　　处：《价格月刊》2013年第11期79-81,共3页

摘　　要：运用协整检验和VAR模型的脉冲响应函数,进行方差分解分析,研究了金融市场利率波动对集合资金信托产品预期收益率的影响。结果表明,债券回购利率和银行同业拆借利率是引起集合资金信托产品预期收益率波动的主要因素,可以通过债券回购利率和银行同业拆借利率的变动对集合资金信托产品预期收益率进行调整。Using cointegration tests and VAR model impulse response function, this paper does variance decomposition analysis to study how interest rate fluctuations in the financial markets affect the trust funds collection products＇ expected rate of return. The results show that the main factors causing trust funds collection products＇ fluctuation of expected rate of return are bond repo rate and interbank offer rate, thus adjustment can be made on trust funds collection products＇ expected rate of return through changes of bond repurchase rate and interbank interest rate.

关 键 词：市场利率 集合资金信托产品 预期收益率 

分 类 号：F830.9[经济管理—金融学]