基于交易者非理性假定的利率期限结构模型:理论与实证

An Interest Rate Term Structure Model Based on the Hypothesis of Irrational Traders:A Theoretical and Empirical Study

本文通过将交易者区分为代表非理性交易的噪音交易者和代表理性交易的信息可知者,建立基于交易者非理性假定的利率期限结构模型,实证研究我国银行间市场质押式回购加权利率以及交易所回购加权利率的非理性波动程度及影响因素。研究发现,在同一市场,利率期限越长非理性波动程度越高;同一期限的交易所利率非理性波动程度高于银行间市场;“利率期限”“监管体制”“央行公开市场操作资金净投放量”不是导致我国利率非理性波动的因素,“投资者异质性”因素对我国利率非理性波动具有显著影响。研究结果表明:公开市场操作没有起到抑制利率非理性波动的作用,如何通过更好的制度建设和政策扶持抑制利率非理性波动应成为关键的政策考量;此外,噪音交易和投资者异质性是导致利率非理性波动的重要因素,中央银行应加强货币市场的利率预期管理,抑制利率非理性波动。

The efficient market hypothesis based on rational expectation hypothesis holds that when the market is completely efficient,asset prices completely reflect all information and obey martingale process.However,a large number of empirical studies show that many anomalies of interest rates are actually the expression of irrational sentiment in the market.The“failure”of the efficient market hypothesis shakes the rational expecta⁃tion assumption of the term structure model of interest rates.Traders are divided into noise traders who represent irrational trading and information traders who represent rational trading,and a term structure model of interest rates is established based on traders'irrational assumption.Taking Chinese market as a sample,the irrational fluctuation degree and influencing factors of the weighted interest rate of pledge style repo and that of exchange repo are studied.The results show that in the same market,the longer the term of interest rate is,the higher the degree of irrational volatility is;the irrational volatility of exchange rate in the same period is higher than that in the inter-bank market;“interest rate duration”,“regulatory system”and“net amount of operating funds in the open market of the central bank”are not the factors leading to the irrational fluctuation of China's interest rates,and the“investor heterogeneity”factor has an impact on the irrational fluctuation of China's inter⁃est rates Movement has a significant effect.The research shows that:the open market operation has not played a role in restraining the irrational fluctuation of interest rate,so how to restrain the irrational fluctuation of inter⁃est rate through better system construction and policy operation should be the key policy consideration;in addi⁃tion,noise trading and investor heterogeneity are important factors leading to irrational interest rate fluctua⁃tions,and the central bank should strengthen the management of interest rate expectation in the money market to restrain interest rate The rate fluctuates irrationally.