Shibor期限结构动态研究

Dynamic Research for Term Structure of Shibor

近年来央行一直推动利率市场化进程,央行将把上海银行间同业拆放利率(Shibor)培育成基准利率。为了推动利率市场化进程,本文以Shibor作为研究对象,构造了Shibor期限结构的基础模型。为了进一步找出Shibor的变化规律,对于基础模型我们做了不同的扩展,并应用时间序列模型对我国的Shibor期限结构进行了实证分析,发现:隔夜、1周、2周、1个月Shibor具有很强的均值回复特性,3个月、6个月、9个月及1年Shibor不具有显著的线性均值回复特征;1个月、3个月、6个月、9个月及1年Shibor期限结构的扩散项部分是对称的,而隔夜、1周、2周Shibor期限结构的扩散项部分存在明显的不对称性。

Central Bank has been promoting the market-based process of interest rate all the time in recent years, and will foster Shanghai Interbank Offered Rate （Shibor） into benchmark interest rate. In order to promote the market-based process of interest rate, this paper has constructed the basic model of term structure of Shibor regarding Shibor as the research object. In order to find out the change law of Shibor, we have done different expansion to basic model, and use the time series models to empirically study the term structure of shibor. The result shows： The overnight, one week, two weeks, one month Shibor have very strong mean-reversion characteristic, but 3 months, 6 months, 9 months and one year Shibor does not have remarkable linear mean-reversion characteristic. Diffusions of term structure of One month, 3 months, 6 months, 9 months and one year Shibor are symmetrical, but diffusions of one week, two weeks have obvious asymmetry.