经济政策不确定性与短期利率波动——基于BHK-L-MIDAS模型的实证研究  

Economic Policy Uncertainty and Short-term Interest Rate Volatility:An Empirical Study Based on BHK-L-MIDAS Model

作　　者：吴鑫育[1] 尹学宝 WU Xinyu;YIN Xuebao(School of Finance,Anhui University of Finance and Economics,Bengbu 233030,China)

机构地区：[1]安徽财经大学金融学院,安徽蚌埠233030

出　　处：《运筹与管理》2023年第9期208-214,共7页Operations Research and Management Science

基　　金：国家自然科学基金面上项目(71971001);安徽省高校自然科学研究项目(KJ2019A0659);安徽省高校协同创新项目(GXXT-2021-078);安徽财经大学研究生科研创新基金项目(ACYC2020154)。

摘　　要：本文在BHK模型的基础上,考虑短期利率波动杠杆效应和EPU对短期利率波动的影响,构建了一个包含杠杆效应和EPU的混频短期利率模型,即BHK-L-MIDAS模型对短期利率波动进行建模与预测。采用上海银行间同业拆借利率(SHIBOR)和中国EPU指数数据对构建的BHK-L-MIDAS模型进行实证分析,结果表明:短期利率波动存在“反向杠杆效应”;EPU对短期利率波动具有显著负向的影响;BHK-L-MIDAS模型相较于竞争模型(BHK和BHK-MIDAS模型)获得了更好的样本内数据拟合效果。基于三种损失函数以及模型置信集(MCS)检验对模型样本外短期利率波动预测能力的分析表明:BHK-L-MIDAS模型相比BHK模型和BHK-MIDAS模型具有更高的样本外预测精度,且BHK-L-MIDAS模型在不同预测窗口表现出的预测能力具有稳健性。最后,VaR分析表明BHK-L-MIDAS模型在短期利率市场风险度量方面的经济价值。The short-term interest rate is a key variable in the pricing of fixed-income securities and derivatives.Meanwhile,the volatility of short-term interest rate has important impact on the asset allocation for investors.The short-term interest rate displays mean reversion,and its empirical distribution exhibits stylized facts such as leptokurtosis and fat tail.In addition,the short-term interest rate volatility changes over time and responds asymmetrically to good and bad news.If those stylized facts of short-term interest rate are ignored,it may affect the optimal asset allocation for investors as well as the accuracy of derivatives valuation.As a consequence,developing a rational model to model and forecast the short-term interest rate volatility is of great importance.This paper contributes to the literature on the modelling of short-term interest rate volatility in three aspects.Firstly,we develop a new model,namely the BHK-L-MIDAS model,which is able to capture the leverage effect(volatility asymmetry)as well as the impact of economic policy uncertainty(EPU)on the short-term interest rate volatility,to model and forecast the short-term interest rate volatility.Secondly,we employ China EPU as a proxy for the EPU,and incorporate it into the BHK-L-MIDAS model to examine the link between the China EPU and short-term interest rate volatility.By doing so,this study provides a new perspective for modelling and forecasting the short-term interest rate volatility.Meanwhile,this study highlights the importance of incorporating the leverage effect for modelling the short-term interest rate volatility by empirically comparing the performance of the BHK-L-MIDAS and BHK-MIDAS models.Finally,based on various loss functions and the model confidence set(MCS)test,this paper examines the predictive ability of the BHK-L-MIDAS model for the short-term interest rate volatility.Furthermore,a VaR analysis is conducted to assess the economic value of the BHK-L-MIDAS model for short-term interest rate market risk measurement.An empirica

关 键 词：经济政策不确定性 杠杆效应 短期利率波动 BHK-L-MIDAS模型 MCS检验 

分 类 号：F830.9[经济管理—金融学]