摘要
同业拆借利率在整个金融市场的利率结构中具有导向作用,因此对同业拆借利率波动的研究具有重要意义。本文基于相空间重构技术对我国银行间同业拆借利率进行了实证研究,通过关联维数和Kolmogorov熵这两个指数来研究我国银行间同业拆借利率的混沌特征。计算结果表明,银行间同业拆借利率具有混沌特性,这使得对同业拆借利率的长期预测成为不可能。
Interbank rates have important effects on other interest rates in the financial market, and therefore it is very important to research the fluctuation of interbank rate. Based on phrase space reconstruction, the paper gives empirical analysis on chaos in China interbank offered rate. The paper analyzes chaotic characteristics of China interbank offered rate by correlation dimension and Kolmogorov entropy. The results demonstrate that in- terbank rate has chaotic properties,which make the long term forecast impossible.
出处
《中国管理科学》
CSSCI
2006年第6期140-143,共4页
Chinese Journal of Management Science
关键词
同业拆借利率
混沌
关联维数
相空间重构
interbank rate
chaos
correlation dimension
phrase space reconstruction
