摘要
论文以1954年7月1日以来美国联邦基金利率及2006年10月8日以来上海银行间同业拆借利率隔夜品种为观察对象,运用谱分析方法研究中美两国利率的周期特征及周期波动的位相关系。单谱分析结果显示,美国联邦基金利率存在着20年左右、8年~11年、2~4年的周期特征。以本文的观察角度,两国利率均存在2年、1年半、1年左右及半年左右的周期特性,有相似的周期特征。交叉谱分析表明,美国联邦基金市场与上海银行间同业拆借市场的波动互有领先。
Taking Federal Funds Effective Rate(July 1st,1954-Apr 21st,2011) and Shanghai Inter-bank Offered Rate(Oct 8th,2006-Apr 21st,2011) as objects,this paper analyzes the cyclical characteristics and phase relation between China and America by spectral analysis.Single spectral analysis shows that Federal Funds Effective Rate has cycles of about 20 years,8 to 11 years,2 to 4 years.When analyzing the interest rates from Oct 8th,2006 to Apr 21st,2011,rates from both the two countries prove that they have the cycles of 2 years,1.5years,1 year and 0.5year.Cross-spectral analysis shows that the interest rate cycles of both countries advance each other at different times.
出处
《上海金融》
CSSCI
北大核心
2011年第11期59-63,共5页
Shanghai Finance
关键词
利率周期
银行间同业拆借利率
谱分析
中美比较
Interest Rate Cycle
Inter-Bank Offered Rate
Spectral Analysis
Comparison Between China and America