SHIBOR市场预期理论的实证检验

本文使用SHIBOR市场期限为1个月及以上的中长端利率数据,针对由预期理论推导出的三个模型进行了回归检验,提出期限为1个月的利率与其它长端利率的利差是平稳的,但是利差对长短期利率变动的预测与理论不一致,即存在预期迷惑现象,因而拒绝了预期理论;长端利率之间的利差不平稳,因而长端利率整体上不支持预期理论。此外,考虑到回归结果的稳健性,本文还按照不同的方式选取了两组样本数据,通过使用不同的数据仍然可以得到相似的结论,这表明回归结果是在一定程度上是稳健的。对预期理论的背离表明SHIBOR市场中长端利率的变动未能充分反映金融市场资金的供需情况,因而有待进一步发展。

An Empirical Test on the Expectations Theory in the SHIBOR Market

Using SHIBOR market’s medium and long-side interest rates which have maturities of at least one month,this paper tests three regression models which are derived from the expectations theory,and proposes that although the spreads between one-month interest rate and other long-side interest rates are stationary,their predictions about the changes of short and long-term interest rates are inconsistent with those of the expectations theory,thus indicates the existence of expectations puzzles and rejects the expectations theory.And also,because the spreads between one and another long-side interest rate are not stationary,it can be inferred that long-side interest rates don’t generally support the expectations theory.In considering the robustness of the regression results,another two groups of sample data are obtained through different ways and used to perform regression tests,and the similarities among these results indicate that this paper’s regression results are robust in a certain degree.The rejection of the expectations theory indicates that changes of medium and long-side interest rates of the SHIBOR market can’t fully reflect the demand and supply of money in financial markets,therefore,the SHBIOR market still needs some further developments.