利率的风险价值衡量与测度——基于温州民间金融的实证研究

发布时间：2018-10-10 14:37

【摘要】：金融体制与市场化的改革对我国金融深化意义重大,其中利率市场化尤为重点。在市场化过程中,利率风险价值的衡量与测度是核心环节。在我国民间金融当中,温州民间金融是典型的代表。因此,本文选取温州民间融资综合利率指数作为分析对象,研究了各个期限利率波动的情况,使用类似鞅差分的单位根检验方法来估计利率序列的市场有效性,并在此基础上进行了风险测算,并计算出了温州民间金融利率的Va R(风险价值)。研究表明,温州民间融资综合利率指数公布机制虽然建设时间不长,但是已具备一定的市场有效性。
[Abstract]:The reform of financial system and marketization is of great significance to China's financial deepening, among which interest rate marketization is especially important. In the process of marketization, the measurement and measurement of interest rate risk value is the core link. In our country folk finance, Wenzhou folk finance is a typical representative. Therefore, this paper selects Wenzhou folk financing comprehensive interest rate index as the analysis object, studies the fluctuation of interest rate of each term, uses the unit root test method similar to martingale difference to estimate the market validity of interest rate sequence. On the basis of this, the paper calculates the Va R (risk value of Wenzhou private financial interest rate. The study shows that Wenzhou private financing comprehensive interest rate index publishing mechanism is not long construction, but has a certain market effectiveness.
【作者单位】：暨南大学经济学院;
【分类号】：F832.5;F224

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