中国利率结构转换问题研究:基于银行间市场的实证分析

On the Regime Switching of Interest Rate in China——An Empirical Analysis based on Data from Inter-bank Market

利率结构转换是当前国内外利率研究的一个热点,但国内对利率结构研究所选用的利率指标只是局限于周数据。本文选用理论界被广泛应用的GARCH模型等计量方法对中国银行间同业拆借利率的日数据和周数据进行结构转换检验。实证研究的结果很好地证实了中国市场利率的确存在着利率结构转换现象,且随着中国利率制度改革的深入,中国利率的波动幅度逐渐减小,即中国利率水平的波动更加平衡。

Regime switching of interest rate is a hot issue in domestic and overseas interest rate researches,however,domestic researches only use weekly interest rate data.The article uses daily and weekly data from China's inter-bank market to test regime switching with GARCH model and other econometric methods.The result confirms the existence of regime switching phenomenon of China's interest rate,and shows that with the deepening of China's interest rate regime reform,the fluctuation of China's interest rate is narrowed up.