本文選題：DEJ-GARCH-Vasicek模型 + 跳躍行為　； 參考：《湖南大學(xué)》2014年碩士論文

【摘要】：利率尤其是短期利率作為貨幣市場(chǎng)乃至金融市場(chǎng)的一個(gè)重要的變量，在金融產(chǎn)品及其衍生品定價(jià)、利率風(fēng)險(xiǎn)管理以及中央銀行貨幣政策傳導(dǎo)中都發(fā)揮著舉足輕重的作用。近年來受金融危機(jī)以及歐債危機(jī)等因素的影響，國際金融市場(chǎng)持續(xù)動(dòng)蕩，金融資產(chǎn)價(jià)格及收益率序列波動(dòng)極為異常，其中利率尤其是短期利率跳躍受到越來越廣泛的關(guān)注，成為當(dāng)前利率研究的熱點(diǎn)。本文在對(duì)利率跳躍行為特征進(jìn)行統(tǒng)計(jì)分析的基礎(chǔ)上，通過假設(shè)跳躍幅度服從雙指數(shù)分布，構(gòu)建一個(gè)DEJ-GARCH-Vasicek模型，對(duì)利率行為尤其是跳躍行為進(jìn)行刻畫和解釋。 本文首先對(duì)現(xiàn)有文獻(xiàn)進(jìn)行綜述，指出其在刻畫利率跳躍行為方面存在的不足。其次進(jìn)行相關(guān)理論分析，定性論證DEJ-GARCH-Vasicek模型在刻畫利率跳躍行為等方面的合理性和有效性。接著構(gòu)建DEJ-GARCH-Vasicek模型，基于具有代表性的貨幣市場(chǎng)利率數(shù)據(jù)，利用極大似然法估計(jì)模型參數(shù)，并綜合模型擬合能力、似然比檢驗(yàn)、樣本內(nèi)解釋能力以及樣本外預(yù)測(cè)能力將所建模型與Vasicek模型、GARCH-Vasicek模型、NJ-Vasicek模型、DEJ-Vasicek模型以及NJ-GARCH-Vasicek模型進(jìn)行比較，從而定量說明DEJ-GARCH-Vasicek模型在刻畫利率行為尤其是跳躍行為等方面的優(yōu)勢(shì)。最后為更深入探析利率跳躍行為，在DEJ-GARCH-Vasicek模型的框架下，，結(jié)合利率運(yùn)行的現(xiàn)實(shí)背景，從宏觀和微觀兩個(gè)層面研究利率跳躍行為影響因素。 研究結(jié)果表明，相對(duì)于現(xiàn)有模型，DEJ-GARCH-Vasicek模型能更細(xì)致地捕捉利率跳躍行為特征，提高模型對(duì)利率行為特別是其跳躍行為的刻畫和解釋能力。此外，新股申購以及法定存款準(zhǔn)備金率調(diào)整和存貸款基準(zhǔn)利率調(diào)整等貨幣政策的出臺(tái)均是引發(fā)人民幣短期利率跳躍行為的因素。
[Abstract]:Interest rate, especially short-term interest rate, as an important variable in money market and even financial market, plays an important role in the pricing of financial products and derivatives, the risk management of interest rate and the transmission of monetary policy of central bank. In recent years, influenced by the financial crisis and the European debt crisis, the international financial market continues to fluctuate, and the price of financial assets and the return rate series fluctuate very unusually. Among them, interest rate, especially short-term interest rate jump, has been paid more and more attention. Interest rate research has become a hot spot. Based on the statistical analysis of the characteristics of interest rate jumping behavior, this paper constructs a DEJ-GARCH-Vasicek model by assuming the jump amplitude distribution from the double exponential distribution, and describes and explains the interest rate behavior, especially the jump behavior. In this paper, the existing literatures are reviewed, and their shortcomings in characterizing interest rate jumping behavior are pointed out. Secondly, the rationality and validity of DEJ-GARCH-Vasicek model in describing the behavior of interest rate jump are analyzed qualitatively. Then the DEJ-GARCH-Vasicek model is constructed, based on the representative interest rate data of the money market, the maximum likelihood method is used to estimate the model parameters, and the model fitting ability and likelihood ratio test are synthesized. The explanatory power within samples and the prediction ability outside samples are compared with Vasicek model, Vasicek model, DEJ-Vasicek model and NJ-GARCH-Vasicek model. The advantages of DEJ-GARCH-Vasicek model in characterizing interest rate behavior, especially jumping behavior, are quantitatively illustrated. Finally, in order to explore the behavior of interest rate jump more deeply, under the framework of DEJ-GARCH-Vasicek model, combining with the realistic background of interest rate operation, this paper studies the influencing factors of interest rate jump behavior from macro and micro level. The results show that DEJ-GARCH-Vasicek model can capture the characteristics of interest rate jump behavior more carefully than the existing model, and improve the description and interpretation of interest rate behavior, especially its jumping behavior. In addition, the introduction of monetary policy, such as new share requisition, legal reserve ratio adjustment and benchmark deposit and loan interest rate adjustment, are all factors that trigger the RMB short-term interest rate jump.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F224;F830.9

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