基于时变跳跃次数的基准利率风险测算研究

Estimation of benchmark interest rate risk premium based on time varying jump times

各国央行包括美联储的利率调整和变动就是基准利率风险.基准利率的变化势必要导致金融资产定价的变动和风险溢价.本文通过自回归模型AR测算随时间变化的利率跳跃次数,确定基准利率跳跃的概率,利用伽马分布和正态分布分别测算基准利率跳跃的时间与幅度,根据利率跳跃的概率、时间和幅度确定基准利率跳跃风险溢价,建立基于时变跳跃次数的基准利率跳跃风险溢价测算模型,并利用中国上海证券交易所国债7天回购利率数据进行实证研究.本文创新与特色:1)通过自回归模型AR测算时变的利率跳跃次数,测算利率发生跳跃的概率,确定基准利率跳跃风险溢价,揭示跳跃次数的动态变化规律,反映历史利率跳跃行为对未来利率跳跃行为的影响,改变现有研究以常数跳跃次数测算利率跳跃概率、无法真实反映利率跳跃的频繁程度,导致利率跳跃概率及利率跳跃风险溢价测算不准的弊端.2)研究表明,现有研究的常数跳跃次数仅仅是本文跳跃次数测算模型在参数ρ、γ等于0时的特例.3)通过利率跳跃的概率、时间和幅度确定基准利率的跳跃风险溢价,解决基准利率跳跃风险补偿的测算问题.

The adjustment of interest rate by central bank brings the benchmark interest rate risk. The change of benchmark interest rate certainly will affect the financial asset pricing and risk premium. In this paper,autoregressive model（ AR） is used to measure the time-varying frequency of interest rate jump and determine the probability of the benchmark interest rate jump. Time and amplitude of benchmark interest rate jump are calculated on two conditions respectively obeying the gamma distribution and the normal distribution. The risk premium of benchmark interest rate jump is calculated according to probability,time and amplitude. Then we establish the risk premium model based on time-varying benchmark interest rate jump and empirical study is carry out based on the 7-day repo rate data from Shanghai Stock Exchange. Innovation and contributions of this paper： First,using autoregressive model to calculate the frequency,probability and risk premium of time-varying interest rate jump,we reveal the law of dynamic changing jump frequency and the impact of historical interest rate jump on future interest rate jump. In the existing research,probability of interest rate jump is calculated based on constant jump frequency which can not truly reflect the jump frequency,leading to inaccurate calculation of jump probability and risk premium. Our research makes up for the deficiency. Second,this paper demonstrates that the constant jump frequency in the existing study is only a special case of our model when the parameter both ρ and γ equal 0. Third,using the probability,time and amplitude of interest rate jump to determine risk premium,we solve the problem of the risk compensation calculation of benchmark interest rate jump.