利率走廊制下的短期利率模型  

A Model of Short-term Interest Rate under Interest Rate Corridor

作　　者：蒋非凡 范龙振[1] JIANG Feifan;FAN Longzhen(School of Management,Fudan University,Shanghai 200433,China)

机构地区：[1]复旦大学管理学院,上海200433

出　　处：《复旦学报（自然科学版）》2021年第2期133-144,156,共13页Journal of Fudan University：Natural Science

基　　金：国家自然科学基金(71371054)。

摘　　要：随着利率市场化,央行近年来推行公开市场业务和利率走廊制度调控短期利率,7天期政策逆回购利率事实上形成了同期市场回购利率的下限.本文基于这个特点构造了市场利率期限结构模型.模型有两个状态变量:第1个状态变量为7天期政策逆回购利率,假定其服从泊松过程;第2个状态变量为7天期市场回购利率.受CIR模型的启发,假定其瞬时波动率取决于它与政策逆回购利率的差,从而7天期政策逆回购利率决定了7天期市场回购利率的下限、均值水平以及波动率.利用随机因子定价模型,本模型给出了各期市场利率的解析表达式.文中使用卡尔曼滤波方法对模型进行实证分析,结果表明该模型能够很好地拟合市场回购利率的统计特征,并且能够解释回购利率期间风险溢酬的变化.With the liberalization of interest rate,the People's Bank of China(PBOC)implemented open market operations and interest rate corridor to regulate short-term interest rate.The PBOC's reverse repo rate has in fact become the lower bound of 7-days market repo rate.Based on this feature,we create a two-factor affine term structure model of interest rates.The model has two state variables:The first one is the PBOC's 7-days reverse repo rate,which is assumed to follow a Poisson process;The second one is 7-days market repo rate and inspired by CIR model,we assume its instantaneous volatility depends on the difference between market repo rate and the PBOC's reverse repo rate.Then reverse repo rate determines the lower bound,average level and volatility of market repo rate.By using stochastic discount factor asset pricing model,the model provides a closed-form solution for market interest rates of different maturities.The model is empirically tested with Kalman filter,and the empirical results indicate that the model fits the statistical characteristics of repo rates very well.Furthermore,it can explain the time-varying term premium of repo rates.This paper has an instructive significance for the modeling of term structure of interest rate under the system of interest rate corridor.

关 键 词：市场利率 回购利率 跳跃过程 利率走廊 仿射模型 

分 类 号：F830.91[经济管理—金融学]