基于TEI@I的银行间质押式回购利率预测研究

A Study on Prediction of Interbank Repo Rates Based on TEI@I

针对银行间质押式回购利率受到多种外部因素影响较难预测的问题,本研究提出基于TEI@I思想的EEMD-XGBoost-ARIMA的银行间质押式回购利率预测算法,构建基于宏观经济、货币政策、流动性因素、相关利率指标等多维度的预测指标体系,引入百度搜索指数作为文本指标进一步提升预测精度。结果表明,基于TEI@I的组合预测模型表现优于传统时间序列预测模型ARIMA,对银行间质押式回购利率的有效预测可为金融机构、投资者和相关监管部门进行流动性管理提供有效依据。

To better predict interbank pledged repo rates due to the influence of multiple external factors,a TEI@I-based EEMD-XGBoost-ARIMA prediction algorithm was proposed.This algorithm constructed a multi-dimensional forecasting index system based on macroeconomic,monetary policy,liquidity factors,relevant interest rate indicators,etc.The prediction accuracy is further enhanced by the introduction of Baidu search index as a textual indicator.The results showed that the combined forecasting model based on TEI@I outperformed the traditional time series forecasting model ARIMA,and the effective forecasting of inter-bank pledged repo rates can provide an effective reference for financial institutions,investors and relevant regulators in liquidity management.