【摘要】：金融體制與市場化的改革對我國金融深化意義重大,其中利率市場化尤為重點。在市場化過程中,利率風險價值的衡量與測度是核心環(huán)節(jié)。在我國民間金融當中,溫州民間金融是典型的代表。因此,本文選取溫州民間融資綜合利率指數作為分析對象,研究了各個期限利率波動的情況,使用類似鞅差分的單位根檢驗方法來估計利率序列的市場有效性,并在此基礎上進行了風險測算,并計算出了溫州民間金融利率的Va R(風險價值)。研究表明,溫州民間融資綜合利率指數公布機制雖然建設時間不長,但是已具備一定的市場有效性。
[Abstract]:The reform of financial system and marketization is of great significance to China's financial deepening, among which interest rate marketization is especially important. In the process of marketization, the measurement and measurement of interest rate risk value is the core link. In our country folk finance, Wenzhou folk finance is a typical representative. Therefore, this paper selects Wenzhou folk financing comprehensive interest rate index as the analysis object, studies the fluctuation of interest rate of each term, uses the unit root test method similar to martingale difference to estimate the market validity of interest rate sequence. On the basis of this, the paper calculates the Va R (risk value of Wenzhou private financial interest rate. The study shows that Wenzhou private financing comprehensive interest rate index publishing mechanism is not long construction, but has a certain market effectiveness.
【作者單位】： 暨南大學經濟學院;
【分類號】：F832.5;F224

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