我国同业拆借利率期限结构研究

同业拆借利率是我国货币市场的主要利率。为了更好的描述我国短期利率的动态特性,本文以我国同业拆借利率作为研究对象,构造了我国同业拆借利率期限结构的基础模型。为了进一步找出我国同业拆借市场利率的变化规律,对于基础模型的主要参数我们做了不同的假设,并应用时间序列模型对我国的同业拆借市场进行了利率期限结构的实证分析,发现我国同业拆借利率的期限结构具有很强的普遍波动持续现象,而且期限结构的漂移项部分存在明显的不对称性。本文的工作将促进建立更加适合中国实际情况的利率期限结构模型。

Interbank offered rate is an important rate in China's currency market. For better understanding of the dynamics short-term interest rates, the paper establishes a basic model of term structure for China's interbank offered rate. The authors put up several hypotheses for the main parameters of the basic model and apply time series models to empirically study the term structure of the interbank offered rate. The result shows that the term structure has persistent volatility and the drift error has evident asymmetry. This study will facilitate to construct a perfect model of China's term structure of short-term interest rates.