货币政策对短期市场利率动态过程的影响——基于SHIBOR的实证研究

The Effects of Monetary Policy on the Dynamic Process of Short-term Market Interest Rate——An Empirical Research Based on SHIBOR

本文基于上海银行间同业拆放利率(SHIBOR),构建引入货币政策变动的短期市场利率GARCHJUMP模型,实证研究货币政策变动是否会促使SHIBOR发生剧烈的跳跃性现象。研究发现:(1)货币政策变动有助于解释短期市场利率的跳跃现象。其中,存款准备金率变动对SHIBOR的影响存在时滞,每周货币净投放变动则能够引起当期的利率跳跃;(2)引入每周货币净投放的模型在SHIBOR发生跳跃的时点上具有最大的条件方差,且跳跃部分的条件方差解释了该条件方差的绝大部分,而GARCH部分的条件方差则相对较小;(3)GARCHJUMP模型中,事前与事后的期望跳跃次数在SHIBOR发生巨大跳跃时也会相应增加;(4)样本外的预测表现再次说明GARCH-JUMP模型在预测短期市场利率动态方面具有最高的拟合优度与最小的均方误。

Based on Shanghai Inter-bank Offered Rate( SHIBOR),this paper introduces GARCH-JUMP model on the effects of monetary policy on short-term market interest rate and empirically studies whether the change of monetary policy can make SHIBOR have sharp jumping phenomenon. Research finds:( 1) the change of monetary policy is conductive to explaining the jump of short-term market rate. Time lag of the effects of reserve requirement ratio change on SHIBOR exists and the weekly net money input can lead to instantaneous interest jump;( 2) the introduced model on weekly net money input has the largest condition variance at the time point when SHIBOR jumps and the condition variance explains most of the variance. The condition variance of GARCH part is relatively small;( 3) the ex-ante and ex-post expected jump times in GARCH-JUMP model increases correspondingly when SHIBIOR jumps violently;( 4) the prediction outside sample indicates that GARCH-JUMP model has the best fitness and least mean square deviation error in predicting the dynamic short-term market interest rate.