中国利率期限结构的非线性动态研究

发布时间：2018-05-16 12:34

本文选题：利率期限结构 + 预期理论　；参考：《管理科学》2012年01期

【摘要】：以1996年1月至2010年3月中国银行间同业拆借市场月度加权平均利率作为研究对象,应用协整检验方法和线性向量误差修正模型对利率期限结构的预期理论进行实证检验,应用马尔科夫区制转移向量误差修正模型研究预期理论调整作用下的利率期限结构非线性动态过程。研究结果表明,预期理论在中国利率期限结构中是成立的;利率期限结构具有两区制的非线性动态特征,可以按预期理论的调整强度将两种区制分别描述为强调整区制和弱调整区制;不同期限利率的平均变动幅度和平均风险溢价水平随区制状态变化而发生变化,具有区制相依性,区制间的转移具有非对称性。因此,应该进一步加强对利率期限结构中经济信息的识别和应用,进一步提高利率期限结构的政策参考价值。
[Abstract]:Taking the monthly weighted average interest rate of interbank interbank lending market in China from January 1996 to March 2010 as the research object, this paper applies the cointegration test method and the linear vector error correction model to test the expected theory of the term structure of the interest rate, and applies the Markoff region system transfer error correction model to study the adjustment of the expected theory. The results show that the expected theory is established in China's interest rate term structure, and the term structure of interest rate has the nonlinear dynamic characteristics of the two zone system. The two regional systems can be described as strong adjustment zone system and weak adjustment zone system according to the adjustment intensity of expected theory; the rate of different term interest rates is different. The average change range and the average risk premium level change with the change of the regional system state. It is dependent on the regional system, and the transfer between the regional systems is asymmetric. Therefore, the identification and application of the economic information in the interest rate term structure should be further strengthened, and the policy reference value of the term structure of the interest rate should be further improved.

【作者单位】：清华大学公共管理学院;吉林大学数量经济研究中心;
【基金】：国家社会科学基金(06BGJ021) 教育部人文社会科学重点研究基地基金(05JJD790006) 中国博士后科学基金(20110490432)~~
【分类号】：F224;F822.0

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