SHIBOR跳跃行为研究

发布时间：2018-03-20 05:30

本文选题：shibor　切入点：自回归跳跃次数期望的GARCH跳跃模型　出处：《山东大学》2013年硕士论文　论文类型：学位论文

【摘要】：基准利率的推出是利率市场化进程中的关键性步骤,自2007年,央行借鉴Libor推出shibor以来,关于shibor是否起到我国资本市场风向标作用一直备受关注,本文通过自回归结构的跳跃次数期望跳跃GARCH模型对短中长期的shibor波动进行考察,短中长期的shibor分别选择两周,六个月和一年期的shibor,从对跳跃的敏感度角度来比较这三个期限的shibor的基准效应。实证结果表明,两周shibor的波动最为频繁,且跳跃引起的波动方差在其条件方差中的平均占比接近40%,而六个月和一年期shibor,以及两周chibor的事前发生跳跃的概率和由跳跃引起的方差都几乎为零,因此本文得出结论两周shibor对于跳跃信息冲击最为敏感。实证结果也显示三个期限shibor都存在波动聚类的现象,以及由利好和利空信息引起的波动存在不对称性,同时跳跃的发生对好坏信息引起的波动不对称性有所缓解。跳跃波动的存在对shibor的条件偏度和条件峰度产生影响,实证结果表明,从平均值角度来看,在考虑跳跃的情况下,各个期限shibor的偏度和峰度都发生了变化,尖峰厚尾现象有所缓解。本文还考察了货币政策的变化是否为shibor跳跃信息冲击的主要来源,在模型中加入货币政策变化的虚拟变量之后,实证结论变化不大,不能看出货币政策为跳跃信息冲击的主要来源。此外,似然比检验也说明了,跳跃发生次数期望的自回归结构设定明显优于常数期望设定,并且反馈系数考虑信息好坏的区别也具有明显的拟合优越性。通过样本外预测说明了将跳跃发生次数的期望设定为自回归结构的模型要优于使其设定为常数的模型。模型的结果显示,中长端的shibor对市场的敏感度不如短期shibor,本文分析其原因主要有我国同业拆借市场规模不足,尤其是中长期拆借品种的交易匮乏,报价银行的利率定价能力有限,报价行的代表性不足,以及目前我国金融市场仍然受到管制,市场化程度低。针对以上的问题,本文提出了着重发展同业拆借市场,增加非银行的报价机构,逐步改变双轨制利率体系,渐渐放松利率管制,央行积极鼓励以shibor作为定价基础和货币政策操作参考目标,以及大力宣传shibor,提升shibor的公众知名度这些政策建议。
[Abstract]:The introduction of benchmark interest rate is a key step in the process of interest rate marketization. Since 2007, the central bank has drawn much attention on whether shibor plays the role of vane of capital market in China since the introduction of shibor by the central bank in 2007. In this paper, the short and medium term shibor fluctuations are investigated by the hopping expected jump GARCH model of the autoregressive structure. The short and medium term shibor are chosen for two weeks, respectively. Six months and one year shiborg compared the benchmark effects of shibor for the three periods in terms of their sensitivity to jumps. Empirical results showed that shibor fluctuated most frequently in two weeks. And the average proportion of the fluctuation variance caused by jump in its conditional variance was nearly 40, but the probability of jumping in advance and the variance caused by jump in six months and one year, and two weeks of chibor were almost zero. Therefore, this paper concludes that two-week shibor is the most sensitive to jump information shock. The empirical results also show that all three term shibor have the phenomenon of volatility clustering, and the volatility caused by positive and negative information is asymmetric. At the same time, the occurrence of jump alleviates the asymmetry of fluctuation caused by good or bad information. The existence of jump fluctuation has an effect on the conditional skewness and conditional kurtosis of shibor. The skewness and kurtosis of shibor have changed in different periods, and the phenomenon of peak and thick tail has been alleviated. This paper also studies whether the change of monetary policy is the main source of the information shock of shibor jump. After the fictitious variable of monetary policy change is added to the model, the empirical conclusion is not changed much, it can not be seen that monetary policy is the main source of jump information shock. In addition, the likelihood ratio test also shows that, The structure of autoregressive structure with expected jump occurrence is better than that with constant expectation, and the difference of feedback coefficient considering information is superior to that of constant expectation, and it also has obvious advantage of fitting. The prediction outside the sample shows that the model with the expectation of jump occurrence as an autoregressive structure is superior to the model which is set as a constant. The results of the model show that, The medium and long term shibor is less sensitive to the market than the short term shibor. this paper analyzes the main reasons for the lack of the scale of the interbank lending market in China, especially the lack of trading of the medium and long term borrowing varieties, and the limited interest rate pricing ability of the quoting banks. The representative of quotation bank is not enough, and the financial market of our country is still regulated at present, and the degree of marketization is low. In view of the above problems, this paper puts forward to develop the interbank lending market, increase non-bank quotation institutions, gradually change the two-track interest rate system, and gradually relax the interest rate control. The central bank has actively encouraged the use of the shibor as the pricing basis and operational reference for monetary policy, as well as promoting policy recommendations such as shibor-raising the shibor's public profile.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F822.0;F832.5;F224

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