银行间同业拆借利率的复杂性研究

A Study on the Complexity of China Interbank Offered Rate

本文运用复杂性理论对我国银行间同业拆借利率进行了实证研究。通过银行间同业拆借利率的关联积分关于相空间维数的数值计算发现,当相空间维数大于9以后,关联维数趋于平稳,从而确定银行间同业拆借利率的嵌入维数约为9,这时对应的关联维数约为3.64。通过对Kolmogorov熵的计算得出,我国7天银行间同业拆借利率的可预测时间尺度约为7天。本文将H.E.Hurst提出的R/S分析法应用于我国银行间同业拆借利率分析,测定了我国银行间同业拆借利率收益率的Hurst指数。运用消除趋势波动分析方法,计算了我国银行间同业拆借利率收益率的标度指数。结果表明:银行间同业拆借利率显示为状态反持续性。

Based on complexity theory,the paper gives empirical analysis on China Interbank Offered Rate（CHIBOR）.The correlated integration with respect to the dimension of the state space is calculated.When the dimension is larger than 9,the correlation dimension approaches to 3.64.The result computed by Kolmogorov entropy proves that the time prediction of 7-day CHIBOR is about in 7 days.This article applies R/S analysis put forward by H.E.Hurst to CHIBOR,calculates Hurst exponent of yield rate of CHIBOR.The scaling exponent of the returns in CHIBOR is calculated using the method of detrended fluctuation analysis（DFA）.According to the empirical analysis,there is the anti-persistence in CHIBOR.