本文關(guān)鍵詞：我國同業(yè)拆借利率期限結(jié)構(gòu)估計及影響因素實證研究　出處：《華東師范大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 利率期限結(jié)構(gòu) 同業(yè)拆借利率 利率期限結(jié)構(gòu)因子 多元時間序列模型

【摘要】：利率是金融市場上最重要的變量之一,在整個金融市場和價格體系中處于關(guān)鍵地位,它影響著各種固定收益證券及利率衍生產(chǎn)品的定價,一直以來都是金融學(xué)研究的重點。對利率期限結(jié)構(gòu)的研究是利率問題的研究領(lǐng)域中最基礎(chǔ)、同時也是最重要的研究方向之一。 第一章中首先介紹利率期限結(jié)構(gòu)的研究背景和選題意義,然后就這一研究方向進行了國內(nèi)外文獻綜述,主要是對本研究方向已有的研究和前人的結(jié)論進行歸納和總結(jié),最后,簡要介紹了本文的主要研究內(nèi)容、論文框架以及本文的創(chuàng)新之處和不足的地方。 第二章對國內(nèi)外關(guān)于利率期限結(jié)構(gòu)理論的研究現(xiàn)狀進行了系統(tǒng)的回顧并對研究脈絡(luò)進行了梳理。這章中將利率期限結(jié)構(gòu)理論分為傳統(tǒng)理論和現(xiàn)代理論,傳統(tǒng)理論主要側(cè)重于討論利率期限結(jié)構(gòu)不同形狀產(chǎn)生的原因,但研究方法非常粗糙,僅僅是對某一時點觀察到的收益率曲線的基本特征進行定性的描述。然后概括的分析了現(xiàn)代利率期限結(jié)構(gòu)理論的研究成果。 第三章首先簡要分析我國貨幣市場的發(fā)展現(xiàn)狀,重點分析了我國銀行間同業(yè)拆借市場,最后決定選取市場化程度較高的同業(yè)拆解利率作為研究對象。在這-章中先利用統(tǒng)計軟件SAS對我國同業(yè)拆借利率數(shù)據(jù)進行主成分分析,驗證目前學(xué)術(shù)界的經(jīng)典三因子描述方法對我國數(shù)據(jù)的有效性,并借鑒前人研究成果、聯(lián)系我國同業(yè)拆借市場的實際給出三個因子較明確的經(jīng)濟學(xué)含義。得出結(jié)論：水平因子、斜度因子和曲度因子對利率期限結(jié)構(gòu)特征的解釋力度達到94%以上,包含了絕大部分的利率期限結(jié)構(gòu)變化的信息。 第四章中基于利率期限結(jié)構(gòu)自身的數(shù)據(jù)結(jié)構(gòu)進行建模分析,利用引入回歸項的ARIMA模型即ARIMAX模型對三因子三組時間序列和CPI時間序列進行多元時間序列回歸的實證檢驗,得出我國同業(yè)拆借市場利率期限結(jié)構(gòu)的變化特征,并將我國同業(yè)拆借市場利率期限結(jié)構(gòu)的三因子——水平因子、斜率因子、曲度因子進行適當(dāng)分離,考察宏觀經(jīng)濟變量對利率期限結(jié)構(gòu)三大因子的影響,著重考察了通貨膨脹因素對利率期限結(jié)構(gòu)三因子的影響。然后根據(jù)實證結(jié)果分析了影響我國同業(yè)拆借利率三因子變動的主要宏觀經(jīng)濟因素及造成三因子時間序列波動的原因,得出的結(jié)論包括：通脹因素對于利率期限結(jié)構(gòu)的水平因子會產(chǎn)生較為明顯的、直接的影響；高通脹使得投資者不斷上調(diào)對未來通脹的預(yù)期,這一行為體現(xiàn)在利率期限結(jié)構(gòu)上便是斜率的不斷加大；通脹水平短時間內(nèi)無法改變曲率的大小,曲率因子顯示在一定程度上長期債券的收益質(zhì)量不如短、中期債券的收益質(zhì)量。 最后一章中,本文根據(jù)實證分析結(jié)果就利率期限結(jié)構(gòu)完善、債券市場建設(shè)、基準(zhǔn)利率體系建設(shè)等給出了相關(guān)政策建議,重點指出同業(yè)拆借利率作為我國短期基準(zhǔn)利率的可行性,希望對金融市場各主體的風(fēng)險管理、中央銀行的貨幣政策制定和執(zhí)行提供一些襄助。
[Abstract]:The interest rate is one of the most important financial market variables play a key role in the financial market and the price system, it affects a variety of fixed income securities and interest rate derivatives pricing, has always been the focus of financial research. The research on term structure of interest rate is the most basic problem in the research field, one of the the research direction is also the most important.
The first chapter introduces the term structure of interest rates on the background and significance of the topic, and then proceed to the domestic and foreign literature review on this research direction, mainly studies and previous researches on this research direction has been concluded and summarized. Finally, this paper briefly introduced the main research content, framework and innovation of this paper insufficient place.
The second chapter of domestic and foreign research on the term structure of interest rate theory are reviewed and the research context. This chapter will be the theory of interest rate term structure is divided into traditional and modern theories, traditional theory mainly focuses on why discuss different term structure shape, but the research methods are very rough, just the basic characteristics of the yield curve to the observation of one point of qualitative description. Then analyze the research achievements of modern theory of rate term structure.
The third chapter first makes a brief analysis of the development status of China's money market, focusing on China's interbank market, finally decided to choose a higher degree of market interbank lending rate as the research object. By using the statistical software SAS principal component analysis of China's interbank interest rate data in this chapter, the current verification classical three factor method to describe the effectiveness of China's data, and the results from previous studies, the economic meaning of China's interbank market given the actual three factor is clear. Conclusion: the level of factor, explanation of slope factor and the curvature factor on the characteristics of the term structure of interest rate reached more than 94% contains the vast changes most of the term structure of interest rate information.
The data structure of the term structure of interest rates based on the fourth chapter are modeled and analyzed by introducing the ARIMA regression model of the ARIMAX model for the three factor three time series and CPI time series empirical multivariate time series regression, the change characteristics of the term structure of interest rates in the interbank lending market of our country, and the three - level factor factor, the term structure of interest rates in China inter-bank lending market the slope factor, appropriate separation curvature factor, the effects of macroeconomic variables on the term structure of interest rates of three factors, focused on the effects of inflation factors on the term structure of interest rates of three factors. Then according to the empirical results, analyzes the main influence factors of macroeconomic changes in interest I interbank three factor and three factor caused by time series fluctuation, the conclusions include: inflation rate for the period The level of factor structures have obvious direct effect; high inflation, investors continue to increase expectations of future inflation, this behavior is reflected in the term structure of interest rate is the slope of the increase constantly; the level of inflation can't change within a short time curvature, curvature factor shows that in a certain extent, long-term bonds earnings quality is rather short, quality bonds medium-term.
In the last chapter, according to the results of empirical analysis on term structure of interest rates improve, the construction of the bond market, the benchmark interest rate system gives the relevant policy suggestions, and points out the feasibility of the interbank interest rate as the benchmark interest rate of China's short-term, hope that the risk management of the main body of the financial markets, making the central bank's monetary policy and implementation some help.

【學(xué)位授予單位】：華東師范大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.2;F224

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