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  本文選題：同業(yè)拆借利率　切入點：影響因素　出處：《山東大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：銀行間同業(yè)拆借利率是金融機構(gòu)尤其是銀行間短期資金借貸的利率,利率水平受短期資金供求的影響,其變動影響著商業(yè)銀行的收益性和安全性。上海銀行間同業(yè)拆借利率自成立以來逐漸成為我國的基準(zhǔn)利率,是我國利率市場化的重要步驟和體現(xiàn)。然而2013年“錢荒”引發(fā)的隔夜拆借利率猛漲至13.44%的事件引起了各方對資金流動性和同業(yè)拆借利率的關(guān)注。因此本文試圖通過分析影響同業(yè)拆借利率的因素和建立合適的模型,來擬合其走勢,為商業(yè)銀行等金融機構(gòu)規(guī)避利率風(fēng)險提供一定的依據(jù)。 本文使用上海銀行間同業(yè)拆借利率(Shibor)作為同業(yè)拆借利率的數(shù)據(jù)來源,選取隔夜和一周同業(yè)拆借利率作為主要研究對象,選用其兩者自2007年以來至2013年的所有報價,假定服從廣義誤差分布和t分布,探究最為合理的擬合模型。首先本文回顧了Shibor的研究文獻,國內(nèi)對Shibor的研究主要從影響因素、走勢擬合和利率期限結(jié)構(gòu)以及其他一些方面展開,其中利率期限結(jié)構(gòu)近年來引起越來越多的關(guān)注。其次本文結(jié)合前期文獻研究,從經(jīng)濟學(xué)角度分析了可能對同業(yè)拆借利率產(chǎn)生影響的因素,以及影響的方向和程度。第三部分論文介紹了在對隔夜和一周同業(yè)拆借利率研究中使用的主要理論和模型概念。再者本文使用ARMA和ARCH族模型對隔夜和一周Shibor進行分析擬合,尋求能最好地刻畫其走勢的模型,并且對各模型的優(yōu)劣進行探討；其中在廣義誤差分布和t分布假設(shè)下分別使用GARCH、EGARCH和TARCH模型擬合隔夜和一周同業(yè)拆借利率的走勢在相關(guān)文獻中較少出現(xiàn)。 經(jīng)探究發(fā)現(xiàn),Shibor具有顯著的自相關(guān)性和異方差性,ARCH族模型能更好的擬合隔夜和一周同業(yè)拆借利率的走勢,其中具有非對稱效應(yīng)項的EGARCH和]GARCH模型更優(yōu)。GARCH模型中ARCH和GARCH項系數(shù)之和大于1,即隔夜和一周Shibor對沖擊的反應(yīng)有擴大的持續(xù)的效應(yīng)。EGARCH模型顯示Shibor的變動在利率上升時比利率下降更大,說明同業(yè)拆借利率對好消息和壞消息的反應(yīng)是非對稱的。TARCH中隔夜和一周同業(yè)拆借利率的TARCH項系數(shù)為負,即Shibor具有反杠桿效應(yīng)。這與之前文獻對同業(yè)拆借利率的研究基本吻合。除Shibor隔夜序列EGARCH模型中更適用t分布外,其他情況廣義誤差分布都優(yōu)于或近似于t分布假設(shè)下的模型擬合。
[Abstract]:The interbank lending rate is the rate at which financial institutions, especially banks, borrow short-term funds. The level of interest rates is affected by the supply and demand of short-term funds. The Shanghai Interbank offered rate has gradually become the benchmark interest rate of our country since its establishment. It is an important step and embodiment of the marketization of interest rate in our country. However, the overnight borrowing rate skyrocketed to 13.44% in 2013, which aroused the attention of all parties to the liquidity of funds and the interbank offered rate. After analyzing the factors that affect the interbank offered rate and establishing the appropriate model, To fit its trend, for commercial banks and other financial institutions to avoid interest rate risk to provide a certain basis. In this paper, the Shanghai Interbank offered rate (SIBOR) is used as the data source of the interbank offered rate (IBOR). The overnight and one-week interbank offered rates are selected as the main research object, and all the quotations from 2007 to 2013 are selected. Assuming the generalized error distribution and t distribution, the most reasonable fitting model is explored. Firstly, this paper reviews the research literature of Shibor. The domestic research on Shibor is mainly based on the influencing factors. Trend fitting, term structure of interest rate and other aspects are carried out, among which interest rate term structure has attracted more and more attention in recent years. From the angle of economics, this paper analyzes the factors that may influence the interbank offered rate. The third part introduces the main theories and model concepts used in the study of overnight and one-week interbank offered rates. Furthermore, this paper uses ARMA and ARCH family models to analyze and fit overnight and one-week Shibor. To find the best way to describe the trend of the model, and to explore the merits and demerits of each model; Under the assumption of generalized error distribution and t-distribution, the trend of overnight and one-week interbank offered rate fitting using GARCH-EGARCH and TARCH models respectively is rare in relevant literature. It is found that Shibor has significant autocorrelation and heteroscedasticity. The arch family model can better fit the trend of overnight and one-week interbank offered rate. The sum of the coefficients of ARCH and GARCH in the model of EGARCH and] GARCH with asymmetric effect is greater than 1, that is, the Shibor response of overnight and one week to shock has an extended sustained effect .EGARCH model shows that the change of Shibor is when the interest rate rises. More than interest rates, It shows that the reaction of interbank offered rate to good news and bad news is asymmetric. The TARCH coefficient of overnight and one week interbank offered rate is negative in .TARCH. That is, Shibor has anti-leverage effect, which is basically consistent with previous studies on interbank offered rate. Except for the Shibor overnight sequence EGARCH model, it is more suitable for t distribution. In other cases, the generalized error distribution is superior to or similar to the model fitting under the assumption of t distribution.
【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】：2014
【分類號】：F832.33;F224

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本文編號：1582119