我国同业拆借市场的时序研究——基于Vasicek模型

Study on Time Series of Interbank Market in China——On the Basis of Vasicek Mode

同业拆借利率是我国金融市场的主要利率。为了更好的描述我国短期利率的动态特性,本文以我国同业拆借利率作为研究对象,构造了我国同业拆借利率期限结构的基础模型。本文首先通过马尔科夫链蒙特卡罗法对Vasicek模型进行参数估计,并对模型的拟合效果进行分析。然后采用时间序列模型对我国的同业拆借市场中的七日同业拆借利率进行实证研究,得出了我国银行同业拆借市场利率数据序列整体较为平稳的结论,这也说明了其均值回复现象较显著。最后,通过检验发现同业拆借利率的样本内预测存在明显的ARCH效应,样本外预测的研究表明其不存在ARCH效应,由样本内预测建立的GARCH(1,1)模型的拟合效果较好。

Interbank offered rate is the main interest rate in China's financial market.In order to better describe the dynamic characteristics of our country's short-term interest rate,this paper takes the interbank interest rate as the research object,and constructs the basic model of the term structure of the interbank lending rate in China.In this paper,Markov chain Monte Carlo method is used to estimate the Vasicek model,and the fitting effect of the model is analyzed.Then the time series model is used to make an empirical study on the seven day interbank lending rate in the interbank lending market in China,and the conclusion is drawn that the overall interest rate data sequence of the interbank lending market of our country is relatively stable,which also shows that the mean return phenomenon is more significant.Finally,it is found that there is an obvious ARCH effect in the sample prediction of the interbank lending rate in the sample.The study of the sample prediction shows that there is no ARCH effect,and the fitting effect of the GARCH(1,1)model established by the sample prediction is better.The work of this paper will promote the establishment of an interest rate term structure model which is more suitable for China's actual situation,with a view to providing a certain reference for the government to implement financial policy and monetary policy.