我国短期利率均值回复假设的实证研究

本文以银行间和交易所的1日及7日回购利率为研究对象,利用Va-sicek、CIR、CKLS利率模型检验了它们的均值回复特征,并使用TARCH、EGARCH、PARCH及ANTI-GARCH模型验证了它们的均值回复速度和条件方差的双重不对称性.发现当这4种利率处于较高水平时,其回落速度较慢,波动性较大;当处于较低水平时,其反弹速度较快,波动性较小.这种均值回复特征又以交易所市场更为明显,其回调速度明显高于银行间同类利率.

An Empirical Test of Mean-reversion Hypothesis of Short-term Interest Rate in China

Using Vasicek, CIR, CKLS interest models as well as TARCH, EGARCH, PARCH and ANTI-GARCH models, the evidence of asymmetric mean- reversion patterns of 1-day and 7-day repo rates in China interbank bond market and Shanghai Stock Exchang are investigated. We find that, when in a high level, these short-term interest rates reverse slowly with a high volatility. While in a low level, the reversionspeed is fast and the volatility is low. The reversion pattern of exchange market wholly behaves more significantly than that of interbank.