基于DEJ-GARCH-Vasicek模型的利率跳跃行为研究

发布时间：2018-05-11 23:36

本文选题：DEJ-GARCH-Vasicek模型 + 跳跃行为　；参考：《湖南大学》2014年硕士论文

【摘要】：利率尤其是短期利率作为货币市场乃至金融市场的一个重要的变量，在金融产品及其衍生品定价、利率风险管理以及中央银行货币政策传导中都发挥着举足轻重的作用。近年来受金融危机以及欧债危机等因素的影响，国际金融市场持续动荡，金融资产价格及收益率序列波动极为异常，其中利率尤其是短期利率跳跃受到越来越广泛的关注，成为当前利率研究的热点。本文在对利率跳跃行为特征进行统计分析的基础上，通过假设跳跃幅度服从双指数分布，构建一个DEJ-GARCH-Vasicek模型，对利率行为尤其是跳跃行为进行刻画和解释。本文首先对现有文献进行综述，指出其在刻画利率跳跃行为方面存在的不足。其次进行相关理论分析，定性论证DEJ-GARCH-Vasicek模型在刻画利率跳跃行为等方面的合理性和有效性。接着构建DEJ-GARCH-Vasicek模型，基于具有代表性的货币市场利率数据，利用极大似然法估计模型参数，并综合模型拟合能力、似然比检验、样本内解释能力以及样本外预测能力将所建模型与Vasicek模型、GARCH-Vasicek模型、NJ-Vasicek模型、DEJ-Vasicek模型以及NJ-GARCH-Vasicek模型进行比较，从而定量说明DEJ-GARCH-Vasicek模型在刻画利率行为尤其是跳跃行为等方面的优势。最后为更深入探析利率跳跃行为，在DEJ-GARCH-Vasicek模型的框架下，，结合利率运行的现实背景，从宏观和微观两个层面研究利率跳跃行为影响因素。研究结果表明，相对于现有模型，DEJ-GARCH-Vasicek模型能更细致地捕捉利率跳跃行为特征，提高模型对利率行为特别是其跳跃行为的刻画和解释能力。此外，新股申购以及法定存款准备金率调整和存贷款基准利率调整等货币政策的出台均是引发人民币短期利率跳跃行为的因素。
[Abstract]:Interest rate, especially short-term interest rate, as an important variable in money market and even financial market, plays an important role in the pricing of financial products and derivatives, the risk management of interest rate and the transmission of monetary policy of central bank. In recent years, influenced by the financial crisis and the European debt crisis, the international financial market continues to fluctuate, and the price of financial assets and the return rate series fluctuate very unusually. Among them, interest rate, especially short-term interest rate jump, has been paid more and more attention. Interest rate research has become a hot spot. Based on the statistical analysis of the characteristics of interest rate jumping behavior, this paper constructs a DEJ-GARCH-Vasicek model by assuming the jump amplitude distribution from the double exponential distribution, and describes and explains the interest rate behavior, especially the jump behavior. In this paper, the existing literatures are reviewed, and their shortcomings in characterizing interest rate jumping behavior are pointed out. Secondly, the rationality and validity of DEJ-GARCH-Vasicek model in describing the behavior of interest rate jump are analyzed qualitatively. Then the DEJ-GARCH-Vasicek model is constructed, based on the representative interest rate data of the money market, the maximum likelihood method is used to estimate the model parameters, and the model fitting ability and likelihood ratio test are synthesized. The explanatory power within samples and the prediction ability outside samples are compared with Vasicek model, Vasicek model, DEJ-Vasicek model and NJ-GARCH-Vasicek model. The advantages of DEJ-GARCH-Vasicek model in characterizing interest rate behavior, especially jumping behavior, are quantitatively illustrated. Finally, in order to explore the behavior of interest rate jump more deeply, under the framework of DEJ-GARCH-Vasicek model, combining with the realistic background of interest rate operation, this paper studies the influencing factors of interest rate jump behavior from macro and micro level. The results show that DEJ-GARCH-Vasicek model can capture the characteristics of interest rate jump behavior more carefully than the existing model, and improve the description and interpretation of interest rate behavior, especially its jumping behavior. In addition, the introduction of monetary policy, such as new share requisition, legal reserve ratio adjustment and benchmark deposit and loan interest rate adjustment, are all factors that trigger the RMB short-term interest rate jump.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F830.9

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