货币市场利率的跳跃行为及影响因素实证分析

中国货币市场短期利率存在明显跳跃行为，本文采用Gaussian-jump-GARCH和Vasicek修正形式等跳跃扩散模型，对银行间市场和交易所市场的7天期利率进行实证检验，并采用边界蒙特卡罗模拟方法显著拒绝了非跳跃模型。结论说明新股申购能够显著的解释利率的跳跃行为：新股申购日之前的三天内，利率跳跃概率已经显著提高，并产生向上跳跃；中购日之后，利率又发生显著的向下跳跃，申购日之后第一天的向下跳跃最为显著。通过新股中购微观效应和股市宏观经济效应等渠道，股票市场影响货币市场利率的跳跃行为。

An Empirical Analysis of Jump Behavior and Influencing Factors of the Money Market Interest Rates

Short-term interest rates may jump in China's money market. We analyze the 7-day rates in inter-bank market and exchange market empirically by some jump-diffusion models,and we reject the jumpless models by a bounds Monte Carlo simulation technique. We come to the conclusions that common stock new issues have a very important effect on the jump behavior of interest rates. The probability of upward jump has been increased significantly three days before new issues. Then after new issues,interest rates may ju...