上海银行间同业拆放利率动态性研究  

An Analysis of Dynamics in SHIBOR

作　　者：孔继红[1] 易志高[1] 

机构地区：[1]南京师范大学商学院,江苏南京210023

出　　处：《数理统计与管理》2016年第6期1125-1140,共16页Journal of Applied Statistics and Management

基　　金：国家自然科学基金项目(71472091;71172041)

摘　　要：本文分析了2006年至2014年间上海银行间同业拆放利率市场隔夜、一周和一月利率品种的动态性。结论显示,短期利率存在显著的漂移项非线性,且随着期限延长而减弱;扩散项的非对称自相关性以及跳跃项的非连续性特征也显著地存在。比较而言,信息冲击非对称性比漂移项非线性的影响要大,而跳跃的影响最大。跳跃设定允许利率遵循混合正态过程,允许利率在两个不同状态之间转换。跳跃对利率水平值的贡献都很小,但对方差的贡献占比很高,且存在随期限延长而降低的趋势。Based on daily transaction data of overnight, 1 week and 1 month rate in 2006-2014 of SHIBOR, the paper analyzes the dynamic characteristic of Chinese short term interest rate. The study concludes that there is significant nonlinear in drift, but the significance of nonlinearity declines with increasing maturity. And there are significant asymmetric autocorrelation diffusion and discontinuous jump process in interest rate. By contrast, the effect of shocks of asymmetric news is larger than the nonlinear drift, and the effect of jump is the largest. The jump drives the interest rate following mixed normal process, which means the interest rate may be switched between two different states. The jump offers a small effect on interest rate level, while the contribution on the proportion of variance is high, and the influence of jump weakens with increasing maturity.

关 键 词：非线性扩散跳跃模型 短期利率动态性 上海银行间同业拆放利率 

分 类 号：F830.9[经济管理—金融学] O212[理学—概率论与数理统计]