经济数学
經濟數學
경제수학
MATHEMATICS IN ECONOMICS
2009年
2期
30-34
,共5页
同业拆放%利率期限结构%自回归分布滞后
同業拆放%利率期限結構%自迴歸分佈滯後
동업탁방%리솔기한결구%자회귀분포체후
inter-bank offered%term structure of interest rate%autoregressive distributed lag model
通过选择反映经济的基本面和具体市场的资金面的变量建立不带移动平均项的自回归分布滞后模型,研究美元LIBOR期限结构影响因素,得到以下结论:从长期来看,通货膨胀率、联邦基金利率、道琼斯工业指数和广义货币的增长率都对LIBOR利率的水平值和斜率有影响.另外,水平值还受到三年期国债收益率的影响.从短期来看,影响水平值的因素有通货膨胀率和联邦基金利率,而三年期国债收益率是影响斜率的唯一短期因素.
通過選擇反映經濟的基本麵和具體市場的資金麵的變量建立不帶移動平均項的自迴歸分佈滯後模型,研究美元LIBOR期限結構影響因素,得到以下結論:從長期來看,通貨膨脹率、聯邦基金利率、道瓊斯工業指數和廣義貨幣的增長率都對LIBOR利率的水平值和斜率有影響.另外,水平值還受到三年期國債收益率的影響.從短期來看,影響水平值的因素有通貨膨脹率和聯邦基金利率,而三年期國債收益率是影響斜率的唯一短期因素.
통과선택반영경제적기본면화구체시장적자금면적변량건립불대이동평균항적자회귀분포체후모형,연구미원LIBOR기한결구영향인소,득도이하결론:종장기래간,통화팽창솔、련방기금리솔、도경사공업지수화엄의화폐적증장솔도대LIBOR리솔적수평치화사솔유영향.령외,수평치환수도삼년기국채수익솔적영향.종단기래간,영향수평치적인소유통화팽창솔화련방기금리솔,이삼년기국채수익솔시영향사솔적유일단기인소.
We analyzed the influencing factor on the term structure of the US dollar Libor by building an autoregres-sire distributed lag model (ADL), whose variables include basic economic variables and capital variables. The results show that inflation rate, federal fund rate, the growth rate of Dow Jones Indexes and M2 have long-term effect on the level and slope val-ue of the US Dollar LIBOR, but the level value is affected by the yield rate of the 3rd government bonds. The results also show that inflation rate and federal fund rate have short-term effect on level value, and the yield rate of the 3rd government bonds is the only short-term factor on the slope value of the US dollar Libor.
