This paper set out to analyze and forecast the Hong Kong Interbank Interest Rate(HIBOR)for a period 2006 to 2018.The main objective of this study is to propose an appropriate time series forecasting model for HIBOR.HI...This paper set out to analyze and forecast the Hong Kong Interbank Interest Rate(HIBOR)for a period 2006 to 2018.The main objective of this study is to propose an appropriate time series forecasting model for HIBOR.HIBOR conceptually captures the interaction between demand and supply of Hong Kong dollar in the interbank market.The volatility of HIBOR reflects market sentiment,changes in underlying macroeconomic environment,random events and even political climate.Thus,the time series data of HIBOR appears to have multiple seasonality during the aforesaid period.The TBATS model,the state space modeling framework developed by De Livera,Hyndman and Snyder(2010)is adopted for this study to improve the accuracy and efficiency of the time series modeling and forecasting of HIBOR.The TBATS model incorporates Box-Cox transformations,Fourier representations with time varying coefficients,and ARMA error correction.Likelihood evaluation and analytical expressions for point forecasts and interval predictions under the assumption of Gaussian errors are derived,leading to a simple,comprehensive approach to forecasting complex seasonal time series.In addition,the trigonometric formulation is used as a means of decomposing complex seasonal time series,which helps to identify and extract seasonal components which are otherwise not apparent in the time series plot itself.The performance of the TBATS model as evaluated by measures of forecast error are presented.展开更多
Different single-factor models are used to estimate the term structure of Hong Kong Inter-Bank Offered Rates （HIBOR）. These models use stochastic differential equations which effectively reflect market characteristi...Different single-factor models are used to estimate the term structure of Hong Kong Inter-Bank Offered Rates （HIBOR）. These models use stochastic differential equations which effectively reflect market characteristics of short- and long-term interest rates, such as capability of mean reversion and interest rate level fluctuation. For the period from 2005 to early 2007, the economy of Hong Kong had been relatively stable with pretty low volatilities in interest rate. However, starting from 2008 to beginning of 2012, the Hong Kong and the world economies had been steering from relatively stable to fluctuations, the 2008 financial tsunami initiated by the U,S. had been causing financial instability globally. With the U.S： government taking quantitative easing monetary policy, U.S. interest rates fluctuated and submerged rapidly. Volatility of HIBOR was extremely sensitive to fluctuation of U.S. interest rates, since Hong Kong dollar exchange rate has been pegged with U.S. dollar. In short, during the period of early 2008 to early 2012, volatility of short-term interest rate was extremely sensitive. Obviously, the term structure of interest rate for these two periods had made major shift, combining the two periods would lead to unfavorable econometric results.展开更多
基金a grant from the College of Professional and Continuing Education,an affiliate of The Hong Kong Polytechnic University。
文摘This paper set out to analyze and forecast the Hong Kong Interbank Interest Rate(HIBOR)for a period 2006 to 2018.The main objective of this study is to propose an appropriate time series forecasting model for HIBOR.HIBOR conceptually captures the interaction between demand and supply of Hong Kong dollar in the interbank market.The volatility of HIBOR reflects market sentiment,changes in underlying macroeconomic environment,random events and even political climate.Thus,the time series data of HIBOR appears to have multiple seasonality during the aforesaid period.The TBATS model,the state space modeling framework developed by De Livera,Hyndman and Snyder(2010)is adopted for this study to improve the accuracy and efficiency of the time series modeling and forecasting of HIBOR.The TBATS model incorporates Box-Cox transformations,Fourier representations with time varying coefficients,and ARMA error correction.Likelihood evaluation and analytical expressions for point forecasts and interval predictions under the assumption of Gaussian errors are derived,leading to a simple,comprehensive approach to forecasting complex seasonal time series.In addition,the trigonometric formulation is used as a means of decomposing complex seasonal time series,which helps to identify and extract seasonal components which are otherwise not apparent in the time series plot itself.The performance of the TBATS model as evaluated by measures of forecast error are presented.
文摘Different single-factor models are used to estimate the term structure of Hong Kong Inter-Bank Offered Rates （HIBOR）. These models use stochastic differential equations which effectively reflect market characteristics of short- and long-term interest rates, such as capability of mean reversion and interest rate level fluctuation. For the period from 2005 to early 2007, the economy of Hong Kong had been relatively stable with pretty low volatilities in interest rate. However, starting from 2008 to beginning of 2012, the Hong Kong and the world economies had been steering from relatively stable to fluctuations, the 2008 financial tsunami initiated by the U,S. had been causing financial instability globally. With the U.S： government taking quantitative easing monetary policy, U.S. interest rates fluctuated and submerged rapidly. Volatility of HIBOR was extremely sensitive to fluctuation of U.S. interest rates, since Hong Kong dollar exchange rate has been pegged with U.S. dollar. In short, during the period of early 2008 to early 2012, volatility of short-term interest rate was extremely sensitive. Obviously, the term structure of interest rate for these two periods had made major shift, combining the two periods would lead to unfavorable econometric results.
