我国银行同业拆借市场利率波动特征分析

利用ARMA—GARCH族模型对上海银行同业拆借市场隔夜折借利率进行了实证分析,得出如下几点结论:(1)银行同业拆借利率存在尖峰厚尾特征,非正态分布更适合描述隔夜拆借利差的厚尾特征;(2)银行同业隔夜拆借利差存在着波动的集聚性;(3)同业拆借利差波动存在着杠杆效应或不对称性,非预期的正的利差抖动引起的波动上升大于同幅度的非预期负的利差抖动引起的波动的上升,即利率上升引起的波动高于同幅度利率下降引起的波动。

The Analysis of Fluctuation Feature in Shibor

Based on the model of ARMA-GARCH,the paper test wave character of the diurnal weighted average rate of inter-bank market from October 8th,2006 to July 6th,2009.The paper draw three conclusions:(1)Shibor is equipped with the feature of thick tail.The nonnormal distribution is more suitable to describe the feature.(2)the cluster of wave character is inherent in the margin of the overnight market rate;(3) There is the leverage effect or asymmetric in the overnight market.Comparing with the unexpected negative ...