摘要
通过考虑宏观经济波动性对利率波动性的影响,实证比较研究了中国短期利率的波动性效应.研究表明:1)中国短期利率的波动率同时存在显著的水平效应、ARCH效应和正向宏观经济效应;2)虽然三种时变波动性效应在刻画短期利率波动性行为时都是必要的,但ARCH效应最强,水平效应次之,宏观经济效应最弱,ARCH效应甚至超过了其余两种效应的总和;3)通常三种时变波动率效应之间存在一定程度的替代关系;4)在常数波动率模型中依次引入波动率的宏观经济效应、水平效应和ARCH效应后,模型对利率数据的拟合优度逐步显著提高.
Through considering the effect of macroeconomic volatility on interest rate volatility,this paper makes an empirical comparison analysis about the volatility effects of Chinese short rate.The research indicates that: 1) There exists significant simultaneous level effect,ARCH effect and positive macroeconomic effect in short rate volatility;2) Though all the three effects are indispensable to depict the volatility of short rate,ARCH effect is of the first importance,while macroeconomic effect is the last;ARC...
出处
《系统工程学报》
CSCD
北大核心
2010年第3期320-325,共6页
Journal of Systems Engineering
基金
教育部人文社科基金资助项目(07JA790023)
复旦大学"金穗"基金资助项目(2006JS062)
