| SHIBOR市场预期理论的实证检验 |
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| 引用本文： | 王庆石,韩成栋.SHIBOR市场预期理论的实证检验[J].兰州商学院学报,2011(5):16-20. |
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| 作者姓名： | 王庆石 韩成栋 |
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| 作者单位： | 东北财经大学国际商学院;东北财经大学数学与数量经济学院; |
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| 摘 要： | 利率期限结构的预期理论一直是国内外学者研究的热点,而实证研究的结果却总是存在着分歧。本文使用SHIBOR市场期限为1个月及以上的利率数据,对预期理论的三个模型进行了回归检验,结果表明存在预期迷惑现象,因而拒绝了预期理论。此外,通过使用按不同方式选取的样本数据,仍然得到了相似的结论,因而研究结果是稳健的。
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| 关 键 词： | 利率期限结构 预期理论 SHIBOR |
An Empirical Test of the Expectations Theory in the SHIBOR Market |
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| WANG Qing-shi,HAN Cheng-dong.An Empirical Test of the Expectations Theory in the SHIBOR Market[J].Journal of Lanzhou Commercial College,2011(5):16-20. |
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| Authors: | WANG Qing-shi HAN Cheng-dong |
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| Institution: | WANG Qing-shi1,HAN Cheng-dong2(1.School of International Business,Dongbei University of Finance and Economics,Dalian 116025,2.School of Mathematics and Quantitative Economics,China) |
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| Abstract: | The expectations theory of the term structure of interest rates has been widely tested by domestic and foreign researchers,but empirical research's results are always different.In this paper,three models implied by the expectations theory are tested by using SHIBOR market interest rates data with maturities at least one month long.Regression results indicate the rejection of the expectations theory.Similar results are obtained by using different sampling data,so the results in this paper are robust. |
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| Keywords: | term structure of interest rates expectations theory SHIBOR |
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