银行同业拆借利率动态相关性研究——基于多元GARCH模型的分析

Study on Dynamic Conditional Correlation of Inter-bank Offered Rate

本文选取多元GARCH方法,利用我国同业拆借市场利率期限结构中四组加权平均月度利率数据进行实证研究。结果表明:除90d数据序列,我国银行同业拆借市场利率波动均值回复现象显著,并具有随利率期限的增长均值回复速度加快的动态特征;90d数据序列异常可能是因市场不确定性的增加促使拆借主体的资金拆借变得"谨慎";另外,各期利率在外界冲击下存在显著的长期异方差效应,并且信息项对方差方程的影响弱于衰减项,这说明利率频繁而又剧烈地调整会引发风险,因此政府应保持货币市场的适度稳定。

The inter-bank market is the major way for financial institutions to raise funds, and the interest rate in inter- bank market has a leading role in financial market. By employing the multivariate GARCH model, this article conducted an empirical study based on four series of data, that is, the monthly weighted average interest rate in China inter-bank lending market. The results showed that, except the 90d data sequence, the fluctuation of mean-reverting process in China＇s inter- bank offered rate was significant and the mean-reverting speed accelerated with the growth of the interest rate term. The excep- tion might result from the fact that the increase of the market uncertainty developed the ＂ prudent＂ capital lending. In addi- tion, the period interest rate presented heteroscedasticity and the information had less effect on the scalar difference equation than the decay, which indicated that the frequent and dramatic changes of interest rate led to risk, implying that the govern- ment should maintain a moderate stability of the money market.