本文選題：shibor　切入點：自回歸跳躍次數(shù)期望的GARCH跳躍模型　出處：《山東大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：基準(zhǔn)利率的推出是利率市場化進(jìn)程中的關(guān)鍵性步驟,自2007年,央行借鑒Libor推出shibor以來,關(guān)于shibor是否起到我國資本市場風(fēng)向標(biāo)作用一直備受關(guān)注,本文通過自回歸結(jié)構(gòu)的跳躍次數(shù)期望跳躍GARCH模型對短中長期的shibor波動進(jìn)行考察,短中長期的shibor分別選擇兩周,六個月和一年期的shibor,從對跳躍的敏感度角度來比較這三個期限的shibor的基準(zhǔn)效應(yīng)。實證結(jié)果表明,兩周shibor的波動最為頻繁,且跳躍引起的波動方差在其條件方差中的平均占比接近40%,而六個月和一年期shibor,以及兩周chibor的事前發(fā)生跳躍的概率和由跳躍引起的方差都幾乎為零,因此本文得出結(jié)論兩周shibor對于跳躍信息沖擊最為敏感。實證結(jié)果也顯示三個期限shibor都存在波動聚類的現(xiàn)象,以及由利好和利空信息引起的波動存在不對稱性,同時跳躍的發(fā)生對好壞信息引起的波動不對稱性有所緩解。跳躍波動的存在對shibor的條件偏度和條件峰度產(chǎn)生影響,實證結(jié)果表明,從平均值角度來看,在考慮跳躍的情況下,各個期限shibor的偏度和峰度都發(fā)生了變化,尖峰厚尾現(xiàn)象有所緩解。本文還考察了貨幣政策的變化是否為shibor跳躍信息沖擊的主要來源,在模型中加入貨幣政策變化的虛擬變量之后,實證結(jié)論變化不大,不能看出貨幣政策為跳躍信息沖擊的主要來源。此外,似然比檢驗也說明了,跳躍發(fā)生次數(shù)期望的自回歸結(jié)構(gòu)設(shè)定明顯優(yōu)于常數(shù)期望設(shè)定,并且反饋系數(shù)考慮信息好壞的區(qū)別也具有明顯的擬合優(yōu)越性。 通過樣本外預(yù)測說明了將跳躍發(fā)生次數(shù)的期望設(shè)定為自回歸結(jié)構(gòu)的模型要優(yōu)于使其設(shè)定為常數(shù)的模型。模型的結(jié)果顯示,中長端的shibor對市場的敏感度不如短期shibor,本文分析其原因主要有我國同業(yè)拆借市場規(guī)模不足,尤其是中長期拆借品種的交易匱乏,報價銀行的利率定價能力有限,報價行的代表性不足,以及目前我國金融市場仍然受到管制,市場化程度低。 針對以上的問題,本文提出了著重發(fā)展同業(yè)拆借市場,增加非銀行的報價機(jī)構(gòu),逐步改變雙軌制利率體系,漸漸放松利率管制,央行積極鼓勵以shibor作為定價基礎(chǔ)和貨幣政策操作參考目標(biāo),以及大力宣傳shibor,提升shibor的公眾知名度這些政策建議。
[Abstract]:The introduction of benchmark interest rate is a key step in the process of interest rate marketization. Since 2007, the central bank has drawn much attention on whether shibor plays the role of vane of capital market in China since the introduction of shibor by the central bank in 2007. In this paper, the short and medium term shibor fluctuations are investigated by the hopping expected jump GARCH model of the autoregressive structure. The short and medium term shibor are chosen for two weeks, respectively. Six months and one year shiborg compared the benchmark effects of shibor for the three periods in terms of their sensitivity to jumps. Empirical results showed that shibor fluctuated most frequently in two weeks. And the average proportion of the fluctuation variance caused by jump in its conditional variance was nearly 40, but the probability of jumping in advance and the variance caused by jump in six months and one year, and two weeks of chibor were almost zero. Therefore, this paper concludes that two-week shibor is the most sensitive to jump information shock. The empirical results also show that all three term shibor have the phenomenon of volatility clustering, and the volatility caused by positive and negative information is asymmetric. At the same time, the occurrence of jump alleviates the asymmetry of fluctuation caused by good or bad information. The existence of jump fluctuation has an effect on the conditional skewness and conditional kurtosis of shibor. The skewness and kurtosis of shibor have changed in different periods, and the phenomenon of peak and thick tail has been alleviated. This paper also studies whether the change of monetary policy is the main source of the information shock of shibor jump. After the fictitious variable of monetary policy change is added to the model, the empirical conclusion is not changed much, it can not be seen that monetary policy is the main source of jump information shock. In addition, the likelihood ratio test also shows that, The structure of autoregressive structure with expected jump occurrence is better than that with constant expectation, and the difference of feedback coefficient considering information is superior to that of constant expectation, and it also has obvious advantage of fitting. The prediction outside the sample shows that the model with the expectation of jump occurrence as an autoregressive structure is superior to the model which is set as a constant. The results of the model show that, The medium and long term shibor is less sensitive to the market than the short term shibor. this paper analyzes the main reasons for the lack of the scale of the interbank lending market in China, especially the lack of trading of the medium and long term borrowing varieties, and the limited interest rate pricing ability of the quoting banks. The representative of quotation bank is not enough, and the financial market of our country is still regulated at present, and the degree of marketization is low. In view of the above problems, this paper puts forward to develop the interbank lending market, increase non-bank quotation institutions, gradually change the two-track interest rate system, and gradually relax the interest rate control. The central bank has actively encouraged the use of the shibor as the pricing basis and operational reference for monetary policy, as well as promoting policy recommendations such as shibor-raising the shibor's public profile.
【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F822.0;F832.5;F224

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