基于机制转换与随机波动的我国短期利率研究

Markov-Regime Switching and Stochastic Volatility Model of Short-Term Interest Rate in China

本文针对我国短期利率具有非线性,易受政策影响,波动较大并存在结构变化等特点,在Smith(2002)机制转换随机波动模型基础上,引入了非线性漂移项,并同时考虑了随机波动方程中常数项、滞后一阶项及方差的机制转换。该模型应用于我国银行间7天同业拆月度利率的研究发现,银行7天同业拆借利率存在明显的非线性、机制转换和波动的水平效应,而且引入机制转换后波动的持久性显著下降。另外,研究还发现高位概率对应着高的波动率和高的通货膨胀率,而低位概率对应着低的波动率和低的通货膨胀率。

In view of nonlinear short rate, this paper extends ity, policy impacts, big volatility and possible structural changes in Chinese the Markov-regime switching and stochastic volatility model proposed by Smith（2002） and introduces nonlinearity to drift and markov switches to all coefficients in stochastic volatility equation. Using Chinese 7-day interbank offered rate data, we find there exists obvious nonlinearity, regime switching and level volatility effects in the rate , and obvious volatility persistence reduction after taking the regime switching into account. Additionally, high-regime probabilities imply high volatility and high inflation rate, low-regime probabilities imply low volatility and low inflation rate.