银行理财产品收益率曲线的构建与分析——基于随机效应半参数模型的方法

Estimating the Yield Curve of Commercial Bank's Financial Products:Based on the Semi-parametric Random Effects Model

本文根据银行理财产品的独特性质,使用带随机效应的半参数模型对不同风险等级理财产品的收益率进行刻画,进而估计出对应的收益率曲线。通过将该模型运用到2009年1月至2012年9月的历史数据,得到了一系列有意义的实证结果:第一,理财产品的收益率受到银行类型、产品总规模和起始认购金额的影响,并且这些因素对不同风险等级产品的影响机制不尽相同;第二,不同风险等级的理财产品其收益率曲线也互不相同;第三,银行在理财产品的发行中,的确有可能存在利用短期理财产品进行变相高息揽存的行为,而银监会2011年9月的规范通知有效地缓解了这种不正常的行为。

Financial products play a substantially important role while commercial banks making innovations. However, the products pricing mechanism, especially its yield curve, has not been fully and clearly researched. Because of the great difference from bond market, the traditional methods which have been successfully applied to estimate bond market＇s yield curve cannot be directly copied to financial products. In this paper, according to the unique characteristics of financial products, we propose a random effect semi - parametric model to capture the pricing mechanism, and hence estimate the yield curve. Based on the historical data from January 2009 to September 2012, a series of empirical results are mined. Firstly, the financial product＇s return is related with bank type, total scale and initial scale, and such relationship varies among products with different risk level. Secondly, the yield curve also varies among products with different risk level. Thirdly, commercial banks may absorb deposit by products with short time - to - maturity but high return, and such a weird behavior was effectively alleviated by the regulation - notice from CBRC at September 30th, 2011.