基于ARMA模型的银行间同业拆借利率预测  

Prediction of interbank offered rate based on ARMA model

作　　者：宋华[1] 姚晓军 SONG Hua;YAO Xiaojun

机构地区：[1]安徽大学经济学院,安徽合肥230601

出　　处：《淮南师范学院学报》2018年第2期11-15,共5页Journal of Huainan Normal University

摘　　要：通过构建具有更高自回归阶数p与偏自回归阶数q的ARMA模型,在现有文献对中国银行间同业拆借利率(CHIBOR)研究的基础上,对上海银行同业间拆借利率(SHIBOR)进行估计与预测,检验了ARMA模型的预测效果。结果显示,模型短期预测能力较好,而对于长期预测,则误差波动较大,预测能力较差。针对这一截然不同的现象,从货币政策与心理预期两个方面给出了可能的解释。By constructing the ARMA model with higher autoregressive order p and partial autoregressive order Q, and on the basis of the research on Chinese interbank offered rate（IBOR） in the existing literature, this essay estimated and forecast Shanghai interbank offered rate, tested the ARMA model. The resu lts show that the short-term forecasting ability of the model is better. The long-term prediction error fluctuates greatly. Finally, this paper gives a possible explanation from two aspects： monetary policy, and psychological expectation.

关 键 词：同业拆借利率 ARMA模型 单位根检验 

分 类 号：F832[经济管理—金融学]