本文關鍵詞： 保險公司 利率風險 單位根檢驗 自相關檢驗　出處：《財會月刊》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,我國保險公司面臨的利率風險越來越大。本文利用我國四家上市保險公司的數據,研究股票收益率變動與利率變動之間的關系。首先對數據進行多重共線性檢驗、平穩(wěn)性檢驗和自相關檢驗,由于利率數據是非平穩(wěn)的,利用數據的一階差分做回歸分析;而D.W檢驗結果表明,隨機誤差項存在自相關現象,因而用Cochrane-Orcutt迭代法來解決自相關問題。模型檢驗結果表明,四家上市保險公司股票收益率的變動均對利率變動敏感,即存在較大的利率風險。最后分析了我國保險公司面臨較大利率風險的原因并提出相應的對策。
[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】： 湖北經濟學院金融學院;湖北經濟學院經濟學系;
【基金】：國家社會科學基金項目“中小企業(yè)信用制度和信用擔保評級制度研究”(項目編號:10BJY052) 教育部人文社科基金項目“農村信用體系建設與制度創(chuàng)新研究”(項目編號:09YJC790074)
【分類號】：F842.3
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本文編號：1537283