Shibor市场中各期限利率波动模式分析——基于FPCA方法

Volatility Mode Analysis in Interest Rates in Various Terms in Shibor Market Based on FPCA

首先阐述了函数型数据的构建方法以及函数型数据主成分分析(FPCA)的模型原理,然后基于FPCA方法对Shibor市场中的各期限利率的波动模式进行实证分析得到如下结论:Shibor市场中各期限利率变动模式可以概括为长期平稳回归趋势以及短期震荡扰动趋势;通过对变动模式特征函数的分析验证了整体Shi-bor不满足预期理论;Shibor市场中利率波动直接反映政府的货币政策以及外部的市场环境等等。

We first introduce the construction of functional data and the model of FPCA in details. In order to study the volatility features of Shibor Market, FPCA method is applied to analyze interest rates of 8 terms in Shibor Market. We draw conclusions as follows： （1） there are two modes of volatility which can be named as long term regression mode and short term shock mode; （2） the expectation theory is not valid in Shibor market; （3） Shibor Market directly reflects the exotic environment and money policy of the government and so on.