中国市场短期利率动态行为的实证研究

发布时间：2018-02-28 12:20

本文关键词： 短期利率时变波动率跳跃过程 MCMC　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：利率作为金融市场上最重要的经济变量之一,一直以来都是金融领域研究的重点。特别是短期利率,其动态行为对金融资产定价和金融风险管理起着至关重要的作用。从上个世纪九十年代至今,我国的利率市场化改革取得了突破性的进展,市场利率的动态行为特征发生了显著性的变化,因而对我国短期利率进行研究是既有理论意义,又有现实价值的一次探索。本文在分析比较了现有短期利率模型和随机建模方法的基础上,选取了银行间市场一天期回购R001作为短期利率的替代,建立了多个模型对短期利率行为的均值回复特征、时变异方差特征和跳跃行为特征依次进行了检验。建模中我们用马尔科夫链蒙特卡罗模拟方法(MCMC)给出了参数估计。通过对单因素模型、时变波动率模型和跳跃模型的分析和检验,本文得到了以下结论：首先,在检验基本单因素模型的过程中,我们发现中国市场短期利率的均值回复特征非常显著,均值回复速度很快。通过对单因素模型的比较分析,得出Vasicek模型是表现最好的单因素模型的结论。其次,我们分别建立了CKLS模型、Vasicek-GARCH(1,1)模型和CKLS-GARCH(1,1)来考察短期利率波动率的特点。实证研究证实了短期利率的波动率受到GARCH(1,1)效应的影响很大,而在考虑了GARCH(1,1)效应之后,水平效应不再明显。再次,我们建立了Vasicek-JUMP模型和Vasicek-GARCH(1,1)-JUMP模型来考察短期利率的跳跃性。然而,我们的实证得出,虽然中国市场短期利率的跳跃特征很明显,但这两种模型均不是刻画此跳跃行为的理想模型。另外,在单因素模型的估计中,我们还对最大似然估计(ML)与马尔科夫链蒙特卡洛方法(MCMC)的估计效果作出比较,认为MCMC方法更能抓住数据的动态特点。
[Abstract]:Interest rate, as one of the most important economic variables in the financial market, has always been the focus of research in the financial field. Its dynamic behavior plays an important role in financial asset pricing and financial risk management. Since -10s, China has made a breakthrough in the reform of interest rate marketization. The dynamic behavior of market interest rate has changed significantly, so the study of short-term interest rate in China is of both theoretical significance and practical value. Based on the analysis and comparison of the existing short-term interest rate models and stochastic modeling methods, this paper selects the one-day repo R001 in the interbank market as the replacement of short-term interest rates, and establishes the mean return characteristics of several models to the short-term interest rate behavior. The features of time-variant variance and jump behavior are tested in turn. In the modeling we use Markov chain Monte Carlo simulation method to estimate the parameters. Through the analysis and test of single factor model, time-varying volatility model and jump model, the following conclusions are obtained: first, in the process of testing the basic single-factor model, We find that the average recovery of short-term interest rate in Chinese market is very significant and the average recovery speed is very fast. Through the comparison and analysis of univariate model, we draw the conclusion that Vasicek model is the best single factor model. Secondly, We have established the CKLS model Vasicek-GARCH1) model and CKLS-GARCH1) model to investigate the characteristics of short-term interest rate volatility. The empirical study shows that the volatility of short-term interest rate is greatly affected by the GARCH1) effect, but after considering the GARCH11) effect, The horizontal effect is no longer obvious. Thirdly, we have established the Vasicek-JUMP model and Vasicek-GARCHUMP model to study the leapfrogging of short-term interest rate. However, our empirical results show that although the characteristics of short-term interest rate jump in China market are obvious, But these two models are not ideal models to characterize the jump behavior. In addition, in the estimation of single factor model, we also compare the estimation effect of maximum likelihood estimation (MLM) with that of Markov chain Monte Carlo method (MCMC). It is considered that the MCMC method can better grasp the dynamic characteristics of the data.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.51

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