基于TEI@I的中国利率多尺度波动特征研究  

Analysis of Multi-scale Volatility Features of Interest Rate in China Based on TEI@I Methodology

作　　者：崔啸 郭琨 金圳妮[3,4] 羊淦 廖哲文 Cui Xiao;Guo Kun;Jin Zhenni;Yang Gan;Liao Zhewen(School of Economics and Management,University of Chinese Academy of Science,Beijing 100190;Chinalco Finance Co.,Ltd.,Beijing 100082;Research Center on Fictitious Economy&Data Science,Chinese Academy of Science,Beijing 100190;Sino-Danish College,University of Chinese Academy of Science,Beijing 100190)

机构地区：[1]中国科学院大学经济与管理学院,北京100190 [2]中铝财务有限责任公司,北京100082 [3]中国科学院虚拟经济与数据科学研究中心,北京100190 [4]中国科学院大学中丹学院,北京100190

出　　处：《管理评论》2020年第7期111-122,共12页Management Review

基　　金：国家自然科学基金青年基金项目(71501175);中国科学院大学优秀青年教师科研能力提升项目。

摘　　要：利率的波动体现了货币的供需关系,利率的波动对经济增长、实体企业经营、金融市场定价和政策调控都有重要的影响,利率的波动特征成为学术界和市场研究的热点。本文从系统管理学的视角,深入研究货币供需系统中对利率产生重要影响的多个因素,系统性梳理了宏观、微观利率决定的理论基础,实证上选取10年期国开债利率作为市场化的长期利率的代理指标,基于TEI@I的方法论,使用EMD模型进行序列分解,发现中国利率具有多尺度叠加的特征,且各尺度分量呈现不同的波动特征,长期和中长期趋势主要受金融市场开放政策的影响,低频周期主要受需求方影响,高频周期则主要受供给方影响,超预期的随机扰动则多伴随突发事件的影响。The interest rate reflects the supply and demand relationship of capital market.It also has an important impact on economic growth,the operation of real enterprises,financial products pricing and policy regulation.The fluctuation characteristics of interest rate has been a research focus in both academic area and market area.From the perspective of system management,this paper makes a deep research on various factors which have important impact on interest rate in both money supply and demand system and systematically sorts out theoretical basis of interest rate decision from both macro and micro aspects.The return of 10-year CDB bond is selected as the proxy index of the market-oriented long-term interest rate.Based on the methodology of TEI@I,the EMD model is used to decompose the se-quence of interest rate.The results show that,the interest rate has multi-scale features,and each component has different fluctuation characteristics.The long-term and middle long-term trends are mainly affected by the opening policy of Chinese financial markets.The low-frequency cycle is mainly affected by the factors of capital demand side,while the high-frequency cycle is mainly affected by the sup-ply side.Further,the over-expected random disturbances are mostly accompanied by the impact of unexpected events.

关 键 词：TEI@I 利率 多尺度 EMD VAR 

分 类 号：F832.5[经济管理—金融学] F224