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路透中国年金指数Ⅱ收益率与中国债券总指数收益率的交叉相关性分析
引用本文:张薏.路透中国年金指数Ⅱ收益率与中国债券总指数收益率的交叉相关性分析[J].上海金融学院学报,2010(4):30-34,66.
作者姓名:张薏
作者单位:上海金融学院保险学院,上海,201209
摘    要:企业年金是中国城镇职工养老保险体系的第二支柱,企业年金的委托人通常以路透中国年金指数II收益率作为其投资组合的业绩比较基准,因此企业年金投资管理人在从事对基金投资管理的同时也关注路透中国年金指数II收益率的走势。本文旨在对路透中国年金指数II的收益率建立合适的线性时间序列模型,并根据历史数据对模型的拟合效果作出判断。文章分别建立了自回归滑动平局模型和多元回归模型,通过对历史数据的拟合发现多元回归模型较好。该模型反映了路透中国年金指数II的收益率与中国债券总指数回报率的交叉相关系数为0.48683。全文使用的是线性时间序列,可看成离散的随机过程,本文研究内容仅限于离散的情况。

关 键 词:路透中国年金指数II收益率  自相关  偏相关  交叉相关系数

The Cross-correlation Analysis on Yield of PCPI Ⅱ and Yield of General Index of China's Bond
Zhang Yi.The Cross-correlation Analysis on Yield of PCPI Ⅱ and Yield of General Index of China's Bond[J].Journal of Shanhai Finance University,2010(4):30-34,66.
Authors:Zhang Yi
Abstract:Enterprise annuity is the second pillar of endowment insurance system in China. Many grantors of enterprise annuity set the yield of Reuters China Pension Index II (PCPI II)as their investment portfolio’s benchmark to compare and evaluate their investment performance. So investment managers not only manage those portfolios from investment, but also pay attention to the variation of the yield of PCPI II. In this article, we made two models with liner time series for the yield of PCPI II. One is an autoregressive integrate moving average model (ARIMA), the other is a multivariable liner regression model. After using a lot of historical data to examine the two model’s fitting results, we found the later model is the better. It showed that the cross-correlation coefficient between yield of PCPI II and yield of general index of China’s bond is 0.48683. In this article, we use several line time series that can be regarded as discrete random processes and only take discrete situation into account.
Keywords:yield of PCPI II  autocorrelation  partial autocorrelation  cross-correlation coefficient
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