操作目标利率的选择与传导 ——基于MLF利率与隔夜利率的实证检验

依据2014-2018年月度数据,运用VAR模型考量MLF利率与隔夜利率对贷款加权利率、商业银行行为以及金融市场利率与金融市场波动的影响.结果表明:MLF利率对贷款加权利率和商业银行行为的影响较大,隔夜利率对金融市场利率和金融市场波动的影响较大.鉴此,应利用MLF利率调节贷款加权利率与商业银行行为,利用隔夜利率调节金融市场利率与金融市场波动,当两种利率的调节效果收敛接近时,再最终确定唯一的操作目标利率.     

Interest Rates and Exchange Rate Movements: Analyzing Short-term Investments in Long-term Bonds

Tests of the uncovered interest rate parity (UIP) are subject to various data problems when long-term interest rates are applied: due to the long investment period, time intervals for measuring exchange rate movements are usually overlapping and therefore not independent. This shortfall can be prevented by considering short-term investments in long-term bonds instead of investments to maturity. This article analyzes the explanatory power of long-term interest rates with regard to 1- and 3-month exchange rate movements by relating return differences from 1- and 3-month investments in domestic and foreign 10-year government bonds to nine different exchange rates. From a Swiss perspective, there is only weak support for an interrelation between return differences and the corresponding exchange rate movements, whereas from a US perspective, the resulting estimates are much more in line with UIP.The reader may for instance consider Engel (1996) and Froot and Thaler (1990).     

Interest Rate Asymmetries in Long-Term Loan and Deposit Markets

Studies of U.S. loan and deposit markets have found that consumer interest rates respond asymmetrically to changes in market rates. If this finding is repeated across many different consumer finance product markets, then it could have important implications for the transmission mechanism of monetary policy. This paper tests for significant interest rate asymmetries in consumer finance markets that differ markedly from those examined in the existing literature. The main result of this paper is to reject the hypothesis of significant asymmetries in most (but not all) of the longer-term loan and deposit markets examined in Canada and the United States. This indicates that the explanations for asymmetries given in the literature are not generalizable across different product markets in different countries.     

The Responses of Interest Rate Spreads to Information Releases

This study examines the responses of three popular futures interest-rate spreads--the MOB (Municipals over Treasury bonds), the NOB (Notes over Treasury bonds), and the TED (Treasury Bills over Eurodollars) to macroeconomic news. We find responses to differ across the three spreads. The most pronounced responses are displayed by the MOB, followed by the NOB and the TED. We also find that the spreads take time to adjust to news in the announcements.     

Fiscal Multipliers under an Interest Rate Peg of Deterministic versus Stochastic Duration

This paper revisits the size of the fiscal multiplier. The experiment is a fiscal expansion under the assumption of a pegged nominal rate of interest. We demonstrate that a quantitatively important issue is the articulation of the exit from the policy experiment. If the monetary‐fiscal expansion is stochastic with a mean duration of T periods, the fiscal multiplier can be unboundedly large. However, if the monetary‐fiscal expansion is for a fixed T periods, the multiplier is much smaller. Our explanation rests on a Jensen's inequality type argument: the deterministic multiplier is convex in duration, and the stochastic multiplier is a weighted average of the deterministic multipliers. The quantitative difference in the two multipliers also arises in a model with capital, and in the baseline nonlinear model. However, the differences between the two are less pronounced in the nonlinear models. The errors from a linear approximation are much larger for the stochastic exit model then for the deterministic exit model.     

Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes

A new kind of mixture autoregressive model with GARCH errorsis introduced and applied to the U.S. short-term interest rate.According to the diagnostic tests developed in the article andfurther informal checks, the model is capable of capturing bothof the typical characteristics of the short-term interest rate:volatility persistence and the dependence of volatility on thelevel of the interest rate. The model also allows for regimeswitches whose presence has been a third central result emergingfrom the recent empirical literature on the U.S. short-terminterest rate. Realizations generated from the estimated modelseem stable and their properties resemble those of the observedseries closely. The drift and diffusion functions implied bythe new model are in accordance with the results in much ofthe literature on continuous-time diffusion models for the short-terminterest rate, and the term structure implications agree withhistorically observed patterns.     

On the Quasi Gaussian Interest Rate Models

In this paper some remarks on the interest rate model proposed by Jamishidian (1991) and Ritchken and Sankarasubramanian (1995b) are presented. This revised version was published online in August 2006 with corrections to the Cover Date.     

On the Nonlinear Specifications of Short-Term Interest Rate Behavior: Evidence from Euro-Currency Markets

This paper presents a coherent nonlinear interest rate model that incorporates the dynamics of the error correction specification into the traditional term structure model. The joint tests based on six Euro-Currency rates indicate that the linear specification should be rejected. The estimated equation suggests that the linear components—the change of the long-term interest rate and the error correcting term are highly significant. The nonlinear components involving the higher order of the independent variables, the cross products, the lagged error squares, and/or the ARCH effect also present significant explanatory power for predicting short-term Euro-Currency rate changes, confirming the non-linear specifications.     

Evaluating Interest Rate Covariance Models Within a Value-at-Risk Framework

A key component of managing international interest rate portfoliosis forecasts of the covariances between national interest ratesand accompanying exchange rates. How should portfolio managerschoose among the large number of covariance forecasting modelsavailable? We find that covariance matrix forecasts generatedby models incorporating interest-rate level volatility effectsperform best with respect to statistical loss functions. However,within a value-at-risk (VaR) framework, the relative performanceof the covariance matrix forecasts depends greatly on the VaRdistributional assumption, and forecasts based just on weightedaverages of past observations perform best. In addition, portfoliovariance forecasts that ignore the covariance matrix generatethe lowest regulatory capital charge, a key economic decisionvariable for commercial banks. Our results provide empiricalsupport for the commonly used VaR models based on simple covariancematrix forecasts and distributional assumptions.     

Junp-Diffusion Interest Rate Process: An Empirical Examination

We investigate a jump-diffusion process, which is a mixture of an O-U process used by Vasicek (1977) and a compound Poisson jump process, for the term structure of interest rates. We develop a methodology for estimating the jump-diffusion model and complete an empirical study in comparing the model with the Vasicek model, for the US money market interest rates. The results show that when the short-term interest rate is low, both models predict an upward sloping term structure, with the jump-diffusion model fitting the actual term structure quite well and the Vasicek model overestimating significantly. When the short-term interest rate is high, both models predict a downward sloping term structure, with the jump-diffusion model underestimating the actual term structure more significantly than the Vasicek model.     

当前金融市场环境下我国商业银行利率风险的防范

传统的存贷款政策、落后的金融市场、利息损益调整的被动局面以及在国际金融业务中风险意识淡薄等原因，严重影响我国商业银行的经营效益，同时也带来巨大的经营风险。建议结合我国商业银行的实际情况及利率市场化的进程，分不同阶段确定不同的重点，循序渐进地进行利率风险管理。     

A Two-Factor Model for Low Interest Rate Regimes

This paper derives a two-factor model for the term structure of interest rates that segments the yield curve in a natural way. The first factor involves modelling a non-negative short rate process that primarily determines the early part of the yield curve and is obtained as a truncated Gaussian short rate. The second factor mainly influences the later part of the yield curve via the market index. The market index proxies the growth optimal portfolio (GOP) and is modelled as a squared Bessel process of dimension four. Although this setup can be applied to any interest rate environment, this study focuses on the difficult but important case where the short rate stays close to zero for a prolonged period of time. For the proposed model, an equivalent risk neutral martingale measure is neither possible nor required. Hence we use the benchmark approach where the GOP is chosen as numeraire. Fair derivative prices are then calculated via conditional expectations under the real world probability measure. Using this methodology we derive pricing functions for zero coupon bonds and options on zero coupon bonds. The proposed model naturally generates yield curve shapes commonly observed in the market. More importantly, the model replicates the key features of the interest rate cap market for economies with low interest rate regimes. In particular, the implied volatility term structure displays a consistent downward slope from extremely high levels of volatility together with a distinct negative skew. 1991 Mathematics Subject Classification: primary 90A12; secondary 60G30; 62P20 JEL Classification: G10, G13     

A two-dimensional dividend problem for collaborating companies and an optimal stopping problem

We consider two insurance companies with wealth processes described by two independent Brownian motions with drift. The goal of the companies is to maximize their expected aggregated discounted dividend payments until ruin. The companies are allowed to help each other by means of transfer payments. But in contrast to Gu et al. [(2018). Optimal dividend strategies of two collaborating businesses in the diffusion approximation model. Mathematics of Operations Research 43(2), 377–398], they are not obliged to do so, if one company faces ruin. We show that the problem is equivalent to a mixture of a one-dimensional singular control problem and an optimal stopping problem. The value function is explicitly constructed and a verification result is proved. Moreover, the optimal strategy is provided as well.     

Optimal Loan Interest Rate Contract Design

This paper analyzes optimal loan interest rate contracts under conditions of risky, symmetric information for one-period (static) and multi-period (dynamic) models. The optimal loan interest rate depends upon the volatility of, and co-variation among the market interest rate, borrower collateral, and borrower income, as well as the time horizon and the risk preferences of lenders and borrowers. For a risk-averse borrower with stochastic collateral, variable interest rate contracts are, in general, Pareto optimal. For plausible assumptions, the optimal loan interest rate for the multi-period model often exhibits muted responses to changes in market interest rates, making fixed rate loans a reasonable approximation for the optimal loan. Hence, in the absence of optimal contracts, long-term (short-term) borrowers tend to prefer fixed rate (variable) contracts.     

Production and the Real Rate of Interest: A Sample Path Equilibrium

This paper examines a multiperiod production economy where investors do not observe the realizations of productivity factors or security expected returns. Unlike previous work, which expresses the equilibrium conditions as functions of unobservable (to both real-world investors and empiricists) moments of the distributions of returns, we express the equilibrium real rate as a function of the observable sample paths of realizations of returns. We provide a framework for empirically testing this and other asset pricing models without outside-the-model econometric assumptions needed for producing the unobservable moments of returns. We construct versions of the restrictions for any time interval between observations.     

Production and the Real Rate of Interest: A Sample Path Equilibrium

This paper examines a multiperiod production economy where investors do not observe the realizations of productivity factors or security expected returns. Unlike previous work, which expresses the equilibrium conditions as functions of unobservable (to both real-world investors and empiricists) moments of the distributions of returns, we express the equilibrium real rate as a function of the observable sample paths of realizations of returns. We provide a framework for empirically testing this and other asset pricing models without outside-the-model econometric assumptions needed for producing the unobservable moments of returns. We construct versions of the restrictions for any time interval between observations.     

Production and the Real Rate of Interest: A Sample Path Equilibrium

This paper examines a multiperiod production economy where investorsdo not observe the realizations of productivity factors or securityexpected returns. Unlike previous work, which expresses theequilibrium conditions as functions of unobservable (to bothreal-world investorsand empiricists) moments of the distributionsof returns, we express the equilibrium real rate asa functionof the observable sample paths of realizations of returns. Weprovide a framework for empirically testing this and other assetpricing models without outside-the-model econometric assumptionsneeded for producing the unobservable moments of returns. Weconstruct versions of the restrictions for any time intervalbetween observations. JEL codes: E43, G12, D92, D80, D51     

我国个人住房贷款利率合理水平探讨

本文从个人住房贷款利率水平影响因素角度入手，运用中美两国住房贷款利率水平比较的方法对我国当前的个人住房贷款的合理利率水平进行分析。得出了我国目前的个人住房贷款利率水平偏高的基本结论，认为我国商业银行拥有高于国外同行的超额利润，房贷存在“暴利”，我国浮动利率住房贷款利率水平合理的范围应当在4-5％左右。     

低利率环境下的政府债务成本与财政政策选择

在未来较长时间内,名义利率和实际利率可能保持低位,低利率压缩了货币政策操作空间,较低的财政成本和较高财政收入,意味着财政政策应该且能够更多发挥更大作用。在政府债务稳定与产出稳定的权衡中,应更多关注产出稳定。