我国短期利率动态波动的跨市场效应研究

发布时间：2017-12-31 19:03

本文关键词：我国短期利率动态波动的跨市场效应研究　出处：《中国海洋大学》2014年硕士论文　论文类型：学位论文

【摘要】：1996年6月1日，人民银行放开了银行间同业拆借利率，此举被视为我国利率市场化的突破口。自此之后，我国对利率的管理开始由直接管制逐步转向间接调控，由市场来决定利率的水平。利率是金融市场中最重要的价格变量，在各种不同期限结构的利率体系中，短期利率占有很重要的地位，它是货币市场资金流动的风向标、在金融资产的定价中扮演着重要角色。在货币市场中，由于受到信息的冲击和资金的快速流动，短期利率作为货币市场的价格也在发生频繁的变化，短期利率波动是市场供求变化的信号，是金融市场的晴雨表。在我国，随着各金融子市场的相关性不断提高，货币市场中短期利率的动态波动往往会引起其他金融子市场的效仿，出现不同程度的震荡，短期利率的剧烈波动甚至会引发多个金融子市场的动态连锁反应。综上所述，我国短期利率动态波动的跨市场效应是一项政府和学者重点关注的问题。本文致力于运用基于时变参数的计量经济学模型来探讨我国短期利率动态波动的跨市场效应。对这一问题的研究，本文主要做了以下两点贡献：一是在研究视角上，本文对跨市场效应的研究，涵盖了我国金融市场最主要的几个子市场：股票市场、国债市场和企债市场，同时将效应分解为均值溢出、波动溢出及投资转移效应，这是对我国短期利率波动跨市场效应的首次系统的探究；二是在模型方法上，本文对我国短期利率跨市场效应的研究，采用了时变参数状态空间模型、DCC-MVGARCH模型以及VAR-DCC-MVGARCH模型，这三个模型均为时变参数模型，比起以往的固定参数模型，，基于时变参数的各类计量经济学模型更符合现实和经济意义。通过模型分析，本文得到四个主要结论：一是我国不同期限的Shibor均异于正态分布，呈现尖峰厚尾的特征，波动聚集现象十分明显；二是我国短期利率波动对股票市场存在微弱的负向均值溢出效应，但对国债和企债市场的均值溢出效应并不明显；三是我国短期利率波动对我国股票市场的波动溢出效应不显著，但对国债和企债市场均存在较强的正向波动溢出效应；四是受我国短期利率波动的影响，我国股票市场和国债市场之间、股票市场和企债市场之间均存在不同程度的投资转移效应，而我国国债和企债市场之间不存在显著的投资转移效应。
[Abstract]:In June 1st 1996, the people's Bank of China liberalized the interbank lending rate, which was regarded as a breakthrough in the marketization of interest rate in China. The management of interest rate in our country has gradually changed from direct control to indirect regulation, and the level of interest rate is determined by the market. Interest rate is the most important price variable in the financial market, in the interest rate system with different term structure. Short-term interest rate plays an important role in the pricing of financial assets because of the impact of information and the rapid flow of funds. Short-term interest rate, as the price of money market, is also changing frequently. Short-term interest rate fluctuation is the signal of market supply and demand change, is the barometer of financial market. With the increasing relevance of various financial sub-markets, the dynamic fluctuations of short-term interest rates in the money market will often lead to other financial sub-markets to follow suit, resulting in varying degrees of volatility. In conclusion, the cross-market effect of the dynamic fluctuation of short-term interest rate in China is an important issue that the government and scholars pay attention to. This paper is devoted to using the econometric model based on time-varying parameters to study the cross-market effect of the dynamic volatility of short-term interest rate in China. This paper mainly makes the following two contributions: first, in the perspective of research, this study of cross-market effects, covering the most important sub-markets of the financial market in China: the stock market, the national debt market and the enterprise bond market. At the same time, the effect is divided into mean spillover, volatility spillover and investment transfer effect, which is the first systematic study of the cross-market effect of short-term interest rate volatility in China. On the other hand, in this paper, we adopt the time-varying parameter state space model to study the cross-market effect of short-term interest rate in China. DCC-MVGARCH model and VAR-DCC-MVGARCH model, these three models are time-varying parameter model, compared with the previous fixed parameter model. All kinds of econometric models based on time-varying parameters are more in line with the reality and economic significance. Based on the model analysis, four main conclusions are obtained: first, the Shibor of different periods in China is different from normal distribution, showing the characteristics of peak and thick tail, and the phenomenon of fluctuation and aggregation is very obvious; Second, there is a weak negative mean spillover effect on the stock market due to short-term interest rate fluctuations, but the average spillover effect on the bond market and enterprise bond market is not obvious. Third, the volatility spillover effect of short-term interest rate fluctuation on Chinese stock market is not significant, but there is strong positive volatility spillover effect on the bond market and enterprise bond market. Fourth, under the influence of short-term interest rate fluctuations, there are different degrees of investment transfer effect between the stock market and the national debt market, between the stock market and the enterprise bond market. However, there is no significant effect of investment transfer between bond market and enterprise bond market in China.
【学位授予单位】：中国海洋大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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