本文關(guān)鍵詞：我國(guó)短期利率動(dòng)態(tài)波動(dòng)的跨市場(chǎng)效應(yīng)研究　出處：《中國(guó)海洋大學(xué)》2014年碩士論文　論文類(lèi)型：學(xué)位論文

  更多相關(guān)文章： 短期利率 波動(dòng) 跨市場(chǎng)效應(yīng) GARCH族模型

【摘要】：1996年6月1日，人民銀行放開(kāi)了銀行間同業(yè)拆借利率，此舉被視為我國(guó)利率市場(chǎng)化的突破口。自此之后，我國(guó)對(duì)利率的管理開(kāi)始由直接管制逐步轉(zhuǎn)向間接調(diào)控，由市場(chǎng)來(lái)決定利率的水平。利率是金融市場(chǎng)中最重要的價(jià)格變量，在各種不同期限結(jié)構(gòu)的利率體系中，短期利率占有很重要的地位，它是貨幣市場(chǎng)資金流動(dòng)的風(fēng)向標(biāo)、在金融資產(chǎn)的定價(jià)中扮演著重要角色。在貨幣市場(chǎng)中，由于受到信息的沖擊和資金的快速流動(dòng)，短期利率作為貨幣市場(chǎng)的價(jià)格也在發(fā)生頻繁的變化，短期利率波動(dòng)是市場(chǎng)供求變化的信號(hào)，是金融市場(chǎng)的晴雨表。在我國(guó)，隨著各金融子市場(chǎng)的相關(guān)性不斷提高，貨幣市場(chǎng)中短期利率的動(dòng)態(tài)波動(dòng)往往會(huì)引起其他金融子市場(chǎng)的效仿，出現(xiàn)不同程度的震蕩，短期利率的劇烈波動(dòng)甚至?xí)l(fā)多個(gè)金融子市場(chǎng)的動(dòng)態(tài)連鎖反應(yīng)。綜上所述，我國(guó)短期利率動(dòng)態(tài)波動(dòng)的跨市場(chǎng)效應(yīng)是一項(xiàng)政府和學(xué)者重點(diǎn)關(guān)注的問(wèn)題。 本文致力于運(yùn)用基于時(shí)變參數(shù)的計(jì)量經(jīng)濟(jì)學(xué)模型來(lái)探討我國(guó)短期利率動(dòng)態(tài)波動(dòng)的跨市場(chǎng)效應(yīng)。對(duì)這一問(wèn)題的研究，本文主要做了以下兩點(diǎn)貢獻(xiàn)：一是在研究視角上，本文對(duì)跨市場(chǎng)效應(yīng)的研究，涵蓋了我國(guó)金融市場(chǎng)最主要的幾個(gè)子市場(chǎng)：股票市場(chǎng)、國(guó)債市場(chǎng)和企債市場(chǎng)，同時(shí)將效應(yīng)分解為均值溢出、波動(dòng)溢出及投資轉(zhuǎn)移效應(yīng)，這是對(duì)我國(guó)短期利率波動(dòng)跨市場(chǎng)效應(yīng)的首次系統(tǒng)的探究；二是在模型方法上，本文對(duì)我國(guó)短期利率跨市場(chǎng)效應(yīng)的研究，采用了時(shí)變參數(shù)狀態(tài)空間模型、DCC-MVGARCH模型以及VAR-DCC-MVGARCH模型，這三個(gè)模型均為時(shí)變參數(shù)模型，比起以往的固定參數(shù)模型，，基于時(shí)變參數(shù)的各類(lèi)計(jì)量經(jīng)濟(jì)學(xué)模型更符合現(xiàn)實(shí)和經(jīng)濟(jì)意義。 通過(guò)模型分析，本文得到四個(gè)主要結(jié)論：一是我國(guó)不同期限的Shibor均異于正態(tài)分布，呈現(xiàn)尖峰厚尾的特征，波動(dòng)聚集現(xiàn)象十分明顯；二是我國(guó)短期利率波動(dòng)對(duì)股票市場(chǎng)存在微弱的負(fù)向均值溢出效應(yīng)，但對(duì)國(guó)債和企債市場(chǎng)的均值溢出效應(yīng)并不明顯；三是我國(guó)短期利率波動(dòng)對(duì)我國(guó)股票市場(chǎng)的波動(dòng)溢出效應(yīng)不顯著，但對(duì)國(guó)債和企債市場(chǎng)均存在較強(qiáng)的正向波動(dòng)溢出效應(yīng)；四是受我國(guó)短期利率波動(dòng)的影響，我國(guó)股票市場(chǎng)和國(guó)債市場(chǎng)之間、股票市場(chǎng)和企債市場(chǎng)之間均存在不同程度的投資轉(zhuǎn)移效應(yīng)，而我國(guó)國(guó)債和企債市場(chǎng)之間不存在顯著的投資轉(zhuǎn)移效應(yīng)。
[Abstract]:In June 1st 1996, the people's Bank of China liberalized the interbank lending rate, which was regarded as a breakthrough in the marketization of interest rate in China. The management of interest rate in our country has gradually changed from direct control to indirect regulation, and the level of interest rate is determined by the market. Interest rate is the most important price variable in the financial market, in the interest rate system with different term structure. Short-term interest rate plays an important role in the pricing of financial assets because of the impact of information and the rapid flow of funds. Short-term interest rate, as the price of money market, is also changing frequently. Short-term interest rate fluctuation is the signal of market supply and demand change, is the barometer of financial market. With the increasing relevance of various financial sub-markets, the dynamic fluctuations of short-term interest rates in the money market will often lead to other financial sub-markets to follow suit, resulting in varying degrees of volatility. In conclusion, the cross-market effect of the dynamic fluctuation of short-term interest rate in China is an important issue that the government and scholars pay attention to. This paper is devoted to using the econometric model based on time-varying parameters to study the cross-market effect of the dynamic volatility of short-term interest rate in China. This paper mainly makes the following two contributions: first, in the perspective of research, this study of cross-market effects, covering the most important sub-markets of the financial market in China: the stock market, the national debt market and the enterprise bond market. At the same time, the effect is divided into mean spillover, volatility spillover and investment transfer effect, which is the first systematic study of the cross-market effect of short-term interest rate volatility in China. On the other hand, in this paper, we adopt the time-varying parameter state space model to study the cross-market effect of short-term interest rate in China. DCC-MVGARCH model and VAR-DCC-MVGARCH model, these three models are time-varying parameter model, compared with the previous fixed parameter model. All kinds of econometric models based on time-varying parameters are more in line with the reality and economic significance. Based on the model analysis, four main conclusions are obtained: first, the Shibor of different periods in China is different from normal distribution, showing the characteristics of peak and thick tail, and the phenomenon of fluctuation and aggregation is very obvious; Second, there is a weak negative mean spillover effect on the stock market due to short-term interest rate fluctuations, but the average spillover effect on the bond market and enterprise bond market is not obvious. Third, the volatility spillover effect of short-term interest rate fluctuation on Chinese stock market is not significant, but there is strong positive volatility spillover effect on the bond market and enterprise bond market. Fourth, under the influence of short-term interest rate fluctuations, there are different degrees of investment transfer effect between the stock market and the national debt market, between the stock market and the enterprise bond market. However, there is no significant effect of investment transfer between bond market and enterprise bond market in China.
【學(xué)位授予單位】：中國(guó)海洋大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 潘冠中,邵斌;單因子利率模型的極大似然估計(jì)——對(duì)中國(guó)利率的實(shí)證分析[J];財(cái)經(jīng)研究;2004年10期

2 鄭振龍;楊偉;;金融資產(chǎn)收益動(dòng)態(tài)相關(guān)性:基于DCC多元變量GARCH模型的實(shí)證研究[J];當(dāng)代財(cái)經(jīng);2012年07期

3 袁晨;傅強(qiáng);;我國(guó)金融市場(chǎng)間投資轉(zhuǎn)移和市場(chǎng)傳染的階段時(shí)變特征——股票與債券、黃金間關(guān)聯(lián)性的實(shí)證分析[J];系統(tǒng)工程;2010年05期

4 張碧瓊;中國(guó)股票市場(chǎng)信息國(guó)際化:基于EGARCH模型的檢驗(yàn)[J];國(guó)際金融研究;2005年05期

5 何康;殷敖;王珂飛;;金融危機(jī)背景下歐美股市聯(lián)動(dòng)性研究——基于狀態(tài)空間模型和分位數(shù)回歸的實(shí)證分析[J];東北大學(xué)學(xué)報(bào)(社會(huì)科學(xué)版);2013年06期

6 陳云;陳浪南;林魯東;;人民幣匯率與股票市場(chǎng)波動(dòng)溢出效應(yīng)研究[J];管理科學(xué);2009年03期

7 胡秋靈;張?zhí)K鳳;王寧;;中國(guó)可轉(zhuǎn)債市場(chǎng)與股票市場(chǎng)的動(dòng)態(tài)關(guān)系研究——基于DCC-MGARCH模型的分析[J];經(jīng)濟(jì)與管理;2010年11期

8 徐有俊;王小霞;賈金金;;中國(guó)股市與國(guó)際股市聯(lián)動(dòng)性分析——基于DCC-GARCH模型研究[J];經(jīng)濟(jì)經(jīng)緯;2010年05期

9 徐軍;周彤;;我國(guó)銀行同業(yè)拆借市場(chǎng)利率波動(dòng)特征分析[J];經(jīng)濟(jì)問(wèn)題;2010年02期

10 李成;馬國(guó)校;;VaR模型在我國(guó)銀行同業(yè)拆借市場(chǎng)中的應(yīng)用研究[J];金融研究;2007年05期

相關(guān)博士學(xué)位論文 前2條

1 張睿鋒;資產(chǎn)價(jià)格波動(dòng)與中央銀行的政策目標(biāo)[D];復(fù)旦大學(xué);2009年

2 李遠(yuǎn)航;中國(guó)債券市場(chǎng)貨幣政策傳導(dǎo)有效性研究[D];湖南大學(xué);2011年

本文編號(hào)：1361041