本文關(guān)鍵詞： 保險(xiǎn)公司 利率風(fēng)險(xiǎn) 單位根檢驗(yàn) 自相關(guān)檢驗(yàn)　出處：《財(cái)會月刊》2016年08期 　論文類型：期刊論文

【摘要】：隨著利率市場化改革的深入推進(jìn),我國保險(xiǎn)公司面臨的利率風(fēng)險(xiǎn)越來越大。本文利用我國四家上市保險(xiǎn)公司的數(shù)據(jù),研究股票收益率變動(dòng)與利率變動(dòng)之間的關(guān)系。首先對數(shù)據(jù)進(jìn)行多重共線性檢驗(yàn)、平穩(wěn)性檢驗(yàn)和自相關(guān)檢驗(yàn),由于利率數(shù)據(jù)是非平穩(wěn)的,利用數(shù)據(jù)的一階差分做回歸分析;而D.W檢驗(yàn)結(jié)果表明,隨機(jī)誤差項(xiàng)存在自相關(guān)現(xiàn)象,因而用Cochrane-Orcutt迭代法來解決自相關(guān)問題。模型檢驗(yàn)結(jié)果表明,四家上市保險(xiǎn)公司股票收益率的變動(dòng)均對利率變動(dòng)敏感,即存在較大的利率風(fēng)險(xiǎn)。最后分析了我國保險(xiǎn)公司面臨較大利率風(fēng)險(xiǎn)的原因并提出相應(yīng)的對策。
[Abstract]:With the deepening reform of interest rate marketization, the interest rate risk faced by Chinese insurance companies is increasing. This paper uses the data of four listed insurance companies in our country. This paper studies the relationship between stock yield and interest rate change. Firstly, the multiplex collinearity test, stationary test and autocorrelation test are carried out. Because the interest rate data are non-stationary, the first order difference of the data is used to make regression analysis. The result of D.W test shows that the random error term has autocorrelation phenomenon, so the Cochrane-Orcutt iterative method is used to solve the autocorrelation problem. The model test results show that the stock return rate of the four listed insurance companies is sensitive to the change of interest rate. In the end, the paper analyzes the reasons why the insurance companies in our country are facing the higher interest rate risk and puts forward the corresponding countermeasures.
【作者單位】： 湖北經(jīng)濟(jì)學(xué)院金融學(xué)院;湖北經(jīng)濟(jì)學(xué)院經(jīng)濟(jì)學(xué)系;
【基金】：國家社會科學(xué)基金項(xiàng)目“中小企業(yè)信用制度和信用擔(dān)保評級制度研究”(項(xiàng)目編號:10BJY052) 教育部人文社科基金項(xiàng)目“農(nóng)村信用體系建設(shè)與制度創(chuàng)新研究”(項(xiàng)目編號:09YJC790074)
【分類號】：F842.3
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本文編號：1537283