| 基于谱分析的中美利率波动周期比较 |
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| 引用本文： | 陈联,郁彬. 基于谱分析的中美利率波动周期比较[J]. 上海金融, 2011, 0(11) |
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| 作者姓名： | 陈联 郁彬 |
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| 作者单位： | 南京理工大学,江苏南京,210096 |
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| 摘 要： | 论文以1954年7月1日以来美国联邦基金利率及2006年10月8日以来上海银行间同业拆借利率隔夜品种为观察对象,运用谱分析方法研究中美两国利率的周期特征及周期波动的位相关系。单谱分析结果显示,美国联邦基金利率存在着20年左右、8年～11年、2～4年的周期特征。以本文的观察角度,两国利率均存在2年、1年半、1年左右及半年左右的周期特性,有相似的周期特征。交叉谱分析表明,美国联邦基金市场与上海银行间同业拆借市场的波动互有领先。
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| 关 键 词： | 利率周期 银行间同业拆借利率 谱分析 中美比较 |
The Comparison of Interest Rate Volatility Cycle between China and America based on Spectral Analysis |
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| Chen Lian/ Yu Bin. The Comparison of Interest Rate Volatility Cycle between China and America based on Spectral Analysis[J]. Shanghai Finance, 2011, 0(11) |
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| Authors: | Chen Lian/ Yu Bin |
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| Affiliation: | Chen Lian/ Yu Bin |
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| Abstract: | Taking Federal Funds Effective Rate(July 1st,1954-Apr 21st,2011) and Shanghai Inter-bank Offered Rate(Oct 8th,2006-Apr 21st,2011) as objects,this paper analyzes the cyclical characteristics and phase relation between China and America by spectral analysis.Single spectral analysis shows that Federal Funds Effective Rate has cycles of about 20 years,8 to 11 years,2 to 4 years.When analyzing the interest rates from Oct 8th,2006 to Apr 21st,2011,rates from both the two countries prove that they have the cycles ... |
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| Keywords: | Interest Rate Cycle Inter-Bank Offered Rate Spectral Analysis Comparison Between China and America |
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