以1年期储蓄存款利率为状态变量的跳跃型广义Vasicek模型

发布时间：2018-12-14 18:59

【摘要】：1年期储蓄存款利率被认为是中国利率体系的基准利率,可将其作为影响市场利率期限结构的状态变量.市场利率不同于官方利率,它们还受其他经济变量的影响.这些其他经济变量对市场利率的影响用1年期市场利率与1年期储蓄存款利率的差别来反映,把它作为影响市场利率的另外一个状态变量.分别用跳跃过程和均值回复过程描述这两个状态变量的变化.在仿射模型的框架下,它们决定了市场利率期限结构.本文给出了该模型下市场利率期限结构的分析表达式,并利用MCMC方法对模型进行了实证分析.实证表明该模型能够很好地拟合市场利率期限结构样本观测值的统计特征.实证分析还发现,债券的超额回报率显著受官方利率调整风险和市场利率随机波动风险的影响.
[Abstract]:The one-year deposit rate is regarded as the benchmark interest rate of China's interest rate system, which can be regarded as the state variable that affects the term structure of market interest rate. Market interest rates are different from official interest rates, and they are also influenced by other economic variables. The influence of these other economic variables on the market interest rate is reflected by the difference between the one-year market interest rate and the one-year savings deposit rate as another state variable affecting the market interest rate. The jump process and the mean return process are used to describe the changes of these two state variables respectively. Under the framework of affine model, they determine the term structure of market interest rate. This paper gives the analytical expression of the term structure of market interest rate under this model, and makes an empirical analysis of the model by using MCMC method. The empirical results show that the model can well fit the statistical characteristics of the observed values of the market interest rate term structure. The empirical analysis also shows that the excess return of bonds is significantly affected by the risk of official interest rate adjustment and the risk of random volatility of market interest rate.
【作者单位】：复旦大学管理学院;
【基金】：教育部跨世纪优秀人才支持计划资助项目(NECT-05-0372) 国家自然科学基金资助项目(70971025)
【分类号】：F832.22;F224

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