我国同业拆借利率期限结构估计及影响因素实证研究

发布时间：2018-01-16 23:19

本文关键词：我国同业拆借利率期限结构估计及影响因素实证研究　出处：《华东师范大学》2012年硕士论文　论文类型：学位论文

【摘要】：利率是金融市场上最重要的变量之一,在整个金融市场和价格体系中处于关键地位,它影响着各种固定收益证券及利率衍生产品的定价,一直以来都是金融学研究的重点。对利率期限结构的研究是利率问题的研究领域中最基础、同时也是最重要的研究方向之一。第一章中首先介绍利率期限结构的研究背景和选题意义,然后就这一研究方向进行了国内外文献综述,主要是对本研究方向已有的研究和前人的结论进行归纳和总结,最后,简要介绍了本文的主要研究内容、论文框架以及本文的创新之处和不足的地方。第二章对国内外关于利率期限结构理论的研究现状进行了系统的回顾并对研究脉络进行了梳理。这章中将利率期限结构理论分为传统理论和现代理论,传统理论主要侧重于讨论利率期限结构不同形状产生的原因,但研究方法非常粗糙,仅仅是对某一时点观察到的收益率曲线的基本特征进行定性的描述。然后概括的分析了现代利率期限结构理论的研究成果。第三章首先简要分析我国货币市场的发展现状,重点分析了我国银行间同业拆借市场,最后决定选取市场化程度较高的同业拆解利率作为研究对象。在这-章中先利用统计软件SAS对我国同业拆借利率数据进行主成分分析,验证目前学术界的经典三因子描述方法对我国数据的有效性,并借鉴前人研究成果、联系我国同业拆借市场的实际给出三个因子较明确的经济学含义。得出结论：水平因子、斜度因子和曲度因子对利率期限结构特征的解释力度达到94%以上,包含了绝大部分的利率期限结构变化的信息。第四章中基于利率期限结构自身的数据结构进行建模分析,利用引入回归项的ARIMA模型即ARIMAX模型对三因子三组时间序列和CPI时间序列进行多元时间序列回归的实证检验,得出我国同业拆借市场利率期限结构的变化特征,并将我国同业拆借市场利率期限结构的三因子——水平因子、斜率因子、曲度因子进行适当分离,考察宏观经济变量对利率期限结构三大因子的影响,着重考察了通货膨胀因素对利率期限结构三因子的影响。然后根据实证结果分析了影响我国同业拆借利率三因子变动的主要宏观经济因素及造成三因子时间序列波动的原因,得出的结论包括：通胀因素对于利率期限结构的水平因子会产生较为明显的、直接的影响；高通胀使得投资者不断上调对未来通胀的预期,这一行为体现在利率期限结构上便是斜率的不断加大；通胀水平短时间内无法改变曲率的大小,曲率因子显示在一定程度上长期债券的收益质量不如短、中期债券的收益质量。最后一章中,本文根据实证分析结果就利率期限结构完善、债券市场建设、基准利率体系建设等给出了相关政策建议,重点指出同业拆借利率作为我国短期基准利率的可行性,希望对金融市场各主体的风险管理、中央银行的货币政策制定和执行提供一些襄助。
[Abstract]:The interest rate is one of the most important financial market variables play a key role in the financial market and the price system, it affects a variety of fixed income securities and interest rate derivatives pricing, has always been the focus of financial research. The research on term structure of interest rate is the most basic problem in the research field, one of the the research direction is also the most important.
The first chapter introduces the term structure of interest rates on the background and significance of the topic, and then proceed to the domestic and foreign literature review on this research direction, mainly studies and previous researches on this research direction has been concluded and summarized. Finally, this paper briefly introduced the main research content, framework and innovation of this paper insufficient place.
The second chapter of domestic and foreign research on the term structure of interest rate theory are reviewed and the research context. This chapter will be the theory of interest rate term structure is divided into traditional and modern theories, traditional theory mainly focuses on why discuss different term structure shape, but the research methods are very rough, just the basic characteristics of the yield curve to the observation of one point of qualitative description. Then analyze the research achievements of modern theory of rate term structure.
The third chapter first makes a brief analysis of the development status of China's money market, focusing on China's interbank market, finally decided to choose a higher degree of market interbank lending rate as the research object. By using the statistical software SAS principal component analysis of China's interbank interest rate data in this chapter, the current verification classical three factor method to describe the effectiveness of China's data, and the results from previous studies, the economic meaning of China's interbank market given the actual three factor is clear. Conclusion: the level of factor, explanation of slope factor and the curvature factor on the characteristics of the term structure of interest rate reached more than 94% contains the vast changes most of the term structure of interest rate information.
The data structure of the term structure of interest rates based on the fourth chapter are modeled and analyzed by introducing the ARIMA regression model of the ARIMAX model for the three factor three time series and CPI time series empirical multivariate time series regression, the change characteristics of the term structure of interest rates in the interbank lending market of our country, and the three - level factor factor, the term structure of interest rates in China inter-bank lending market the slope factor, appropriate separation curvature factor, the effects of macroeconomic variables on the term structure of interest rates of three factors, focused on the effects of inflation factors on the term structure of interest rates of three factors. Then according to the empirical results, analyzes the main influence factors of macroeconomic changes in interest I interbank three factor and three factor caused by time series fluctuation, the conclusions include: inflation rate for the period The level of factor structures have obvious direct effect; high inflation, investors continue to increase expectations of future inflation, this behavior is reflected in the term structure of interest rate is the slope of the increase constantly; the level of inflation can't change within a short time curvature, curvature factor shows that in a certain extent, long-term bonds earnings quality is rather short, quality bonds medium-term.
In the last chapter, according to the results of empirical analysis on term structure of interest rates improve, the construction of the bond market, the benchmark interest rate system gives the relevant policy suggestions, and points out the feasibility of the interbank interest rate as the benchmark interest rate of China's short-term, hope that the risk management of the main body of the financial markets, making the central bank's monetary policy and implementation some help.

【学位授予单位】：华东师范大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.2;F224

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