银行间债券市场回购利率的波动性分析

Analysis on the Volatility of Rate in Chinese Inter-Bank Bond Market

引入了状态转移TGARCH模型(称为SW-TGARCH模型),并对我国银行间债券市场回购利率进行分析.与ARCH类模型相比,SW-TGARCH模型能够更好地描述其波动性,并解决了GARCH模型高持续性及状态转移问题.实证分析表明,造成我国银行间债券市场回购利率波动性状态转移的最主要原因是政策因素.

The Regime-Switching TGARCH models as a useful tool to analyze the volatility of rate in Chinese Inter-bank bond market are presented. It is found that the SW TGARCH models can better describe the volatility of the interest rate and provide a much lower level volatility persistence than GARCH models. The effect of the policy of CB on the switching of regimes is analyzed.