票据市场利率分层与波动特性

Research on the Discount Rate Stratification and Volatility Characteristics of the Bill Market

本文以票据一、二级市场21个利率品种数据为基础,汇总分析各信用等级,各期限票据利率差异,并用Python建立趋势消解波动分析模型(DFA)研究不同承兑、直贴、期限票据业务中的利率分层及波动特征。这一研究可为当前疫情影响下央行为降低中小企业融资成本相关政策的制定提供数据支撑,并能为现实交易中的策略设计提供借鉴。

This article examines the interest rate differentials of bills of various credit ratings and maturities based on the data of 21 rates in the primary and secondary markets.It uses Python to establish a trend resolution fluctuation analysis model(DFA)to study the characteristics of different acceptances,direct discounts,and maturities.This allows it to make an assessment of the interest rate stratification and fluctuation characteristics in bills trading.This research can provide data support for the central bank's formulation of policies aimed at reducing the financing costs of SMEs,an objective that takes on particular importance amid the Covid pandemic.It can also provide a reference for the design of strategies for actual transactions.