基于GARCH族模型的信息冲击对香港同业拆借市场的影响被引量：1

The Impact of Information on Hong Kong Interbank Lending Market Based on GARCH Models

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摘要香港同业拆借市场为香港商业银行和金融机构提供了短期资金借贷的平台。该市场形成的同业拆借利率HIBOR为存贷款利率的走向提供了重要参考。基于GARCH族模型研究了信息对香港同业拆借市场的冲击并绘制了相应的信息冲击曲线,发现PARCH-t(1,1)模型对数据的拟合度最高,发现信息对该市场的冲击具有明显的非对称性,好消息比坏消息给该市场带来的冲击更大。 Hong Kong interbank lending market provides a platform for short-term financing activities among commercial banks and financial institutions. The Hong Kong Interbank Offered Rate, HIBOR, is an important indicator of the movement in saving ＆ lending rates. The paper analyzed the impact of asymmetric information on Hong Kong interbank lending market in detail based on various GARCH models and drafted the news impact curves. The results showed that PARCH-t （1,1） model performs better on describing the distribution of HIBOR series. We concluded that information impact to the market was asymmetric, and good news impacted Hong Kong interbank lending market more than bad news.

作者杜轶群

机构地区长安大学经济与管理学院

出处《统计与信息论坛》 CSSCI 北大核心 2015年第5期74-80,共7页 Journal of Statistics and Information

关键词 GARCH族模型同业拆借市场信息冲击 GARCH model interbank lending market information impact

分类号 F832 [经济管理—金融学]

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