兰州大学机构库 >数学与统计学院
基于GARCH模型的我国同业拆借利率波动性研究
Alternative TitleGARCH Models for the volatility of Chinese Inter-bank Borrowing Interest
杨馥榕
Thesis Advisor牛明飞
2013-05-26
Degree Grantor兰州大学
Place of Conferral兰州
Degree Name硕士
KeywordARCH模型 GARCH模型 利率波动
Abstract利率市场化主要是一项解决利率形成机制问题的金融体制改革,是把利率决定权交给市场,由市场资金供求情况决定市场利率,市场主体可以根据不同金融交易各自的特点自主决定利率。利率问题一直我国金融界长期关注的热点问题。同业拆借作为一种资金融通的行为,其主要针对的是短期融资,要求拆借双方必须是具有法人资格的金融机构,也可以是一些得到法人授权的分支机构。我国的同业拆借市场发展较晚,到1996年6月,才放开了银行间同业拆借市场利率,随着各项制度及其法规的不断完善,加之市场经济的不断发展,同业拆借市场交易量不断增多,逐渐成为货币市场最有影响力的一个指标,这加快了我国商业银行的商业化进程,同时使得中国人民银行可以更为有效地进行宏观调控,金融机构对金融产品进行合理定价和风险防范,最终推动我国货币市场和实体经济的发展。 国内外对于同业拆借利率的研究主要有同业拆借利率的预测、同业拆借利率的影响因素以及利率期限结构是否符合中国拆借利率市场。本文以SHIBOR(上海银行间同业拆借利率)隔夜拆借利率和七天拆借利率2006年10月至2012年12月的全部数据为研究对象。从研究我国同业拆借利率的基本统计特征出发, 利用时间序列分析法,构建能够衡量其波动性特征的GARCH类模型 , 并对结果进行比较和检验, 重点探究我国同业拆借利率两种期限品种的利率波动特征。 本文最后通过实证分析表明,我国银行同业拆借市场利率时间序列具波动集群性、厚尾性。此外,结论还得出我国银行间同业拆借利率存在杠杆效应,它与其他金融市场的波动不对称性不同,这是由与同业拆借市场本身就与其他金融市场的特点不同。
Other AbstractInterest rate marketization is primarily a financial system to solve the problem of interest rate formation mechanism reform, is the interest rate decisions to the market, the market capital supply and demand determine the market rate, the market main body can be according to the characteristics of the different financial transactions independently decided to interest rates. Interest rates have been the hot topic in finance for a long time in China. Interbank lending financial institutions with legal person qualification and is authorized by the legal person of the non-legal-person branch financial institutions between short-term temporary financing behavior. In June of 1996, China's domestic market-oriented interest rate process, first of all, let go of the interbank lending market interest rates, with the establishment of the national inter-bank lending market and gradually improve, trading in the interbank market in year by year, the interbank lending market interest rates have become one of the most influential money market indicators, for the commercialization process of Chinese commercial Banks and commercial Banks to fund operating efficiency plays an important role. Accurate in-depth study of the interbank lending market, makes the people's bank of China can be more effective macroeconomic regulation and control, financial institutions to reasonable pricing the financial products and risk prevention, and eventually promote the development of China's money market and the real economy. For interbank interest rates at home and abroad research mainly has interbank rate forecast, the influence factors of interbank lending rates, and lending interest rate term structure of interest rates is in line with the China market. Interbank lending rates based on SHIBOR (Shanghai) overnight interest rates and lending rates for seven days in October 2006 to December 2012, all the data as the research object. From studying the basic statistical characteristics of interbank lending rates in our country, using time series analysis method, constructed to measure the volatility characteristics of GARCH class models, and comparing the results and inspection, the key to explore China's interbank interest rate term two varieties of interest rate volatility characteristics. This paper shows that in the end through the empirical analysis, our country bank time CHIBOR sequence with volatility clustering, thick tail. In addition, the conclusion is that leverage effect...
URL查看原文
Language中文
Document Type学位论文
Identifierhttps://ir.lzu.edu.cn/handle/262010/225234
Collection数学与统计学院
Recommended Citation
GB/T 7714
杨馥榕. 基于GARCH模型的我国同业拆借利率波动性研究[D]. 兰州. 兰州大学,2013.
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