中国银行间同业拆借市场利率结构转换研究被引量：11

An Analysis on Regime-Switching of Interest Rate in the Inter-Bank Market of China

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摘要利用Gray提出的一般利率结构转换模型对中国银行间30天同业拆借利率进行实证研究,发现中国银行间30天同业拆借市场确实存在结构转换现象。同时,在利率波动较小时其存在均值回复现象,而当利率波动较大时带有制度转换的GARCH(1,1)模型则显示不存在均值回复现象。 In this paper we made use of the general regime-switching model proposed by Gray and the data of the 30-day inter-bank market of China to study the behavior of the interest rates. After research, we found that there did exist regime-switching in the market. We also found that when the volatility was low, the interest rates showed mean reversion to the long-run mean, while the volatility was high, the GARCH(1,1) model with regime-switching showed no sign of mean reversion.

作者陈晖谢赤

机构地区湖南大学工商管理学院

出处《管理科学》 CSSCI 2004年第4期65-70,共6页 Journal of Management Science

基金国家自然科学基金资助项目(79970015) 国家社会科学基金资助项目(03BJY099) 教育部博士学位点专项科研基金资助项目(20020532005) 第三届全国高校青年教师奖励基金资助项目

关键词结构转换单结构模型一般结构转换模型 Regime-switching Single-regime model General regime-switching model

分类号 F832 [经济管理—金融学]

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