CAJ | 학술논문

受货币政策调控频率提升及大型新股申购等因素的影响，近年来人民币短期利率表现出明显的跳跃行为。为了更准确地描述利率跳跃行为，本文通过假设跳跃幅度服从双指数分布构建一个能刻画短期利率波动聚类、均值回复和跳跃行为的双指数Jump-GARCH-Vasicek 模型。利用人民币短期利率数据，将双指数 Jump-GARCH-Vasicek模型与Vasicek模型、GARCH-Vasicek模型、正态Jump-Vasicek模型、双指数Jump-Vasicek模型、正态Jump-GARCH-Vasicek模型进行实证对比分析。研究结果表明，人民币短期利率确实存在GARCH效应、均值回复和跳跃行为，且双指数Jump-GARCH-Vasicek模型较其它模型能更好地刻画人民币短期利率的跳跃行为。
수화폐정책조공빈솔제승급대형신고신구등인소적영향，근년래인민폐단기리솔표현출명현적도약행위。위료경준학지묘술리솔도약행위，본문통과가설도약폭도복종쌍지수분포구건일개능각화단기리솔파동취류、균치회복화도약행위적쌍지수Jump-GARCH-Vasicek 모형。이용인민폐단기리솔수거，장쌍지수 Jump-GARCH-Vasicek모형여Vasicek모형、GARCH-Vasicek모형、정태Jump-Vasicek모형、쌍지수Jump-Vasicek모형、정태Jump-GARCH-Vasicek모형진행실증대비분석。연구결과표명，인민폐단기리솔학실존재GARCH효응、균치회복화도약행위，차쌍지수Jump-GARCH-Vasicek모형교기타모형능경호지각화인민폐단기리솔적도약행위。
Affected by factors such as monetary policies made by the people's bank of China and large-scale new shares subscriptions , the RMB short-term interest rates showed obvious jump behavior in recent years .In order to better describe the jump behavior of interest rates , we construct a Jump-GARCH-Vasicek model which can de-scribe the volatility clustering , mean reversion and jump behavior of Chinese short-term interest rates by assuming the distribution of jump size to be double exponential .Based on the datum of Chinese short-term interest rates, we compare double exponential Jump-GARCH-Vasicek model with the following five models: Vasicek model , GARCH-Vasicek model , normal Jump-Vasicek model , double exponential Jump-Vasicek model and normal Jump-GARCH-Vasicek model .We find that short-term interest rates show obvious GARCH effect , mean rever-sion and jump behavior , and the double exponential Jump-GARCH-Vasicek model is the best of the six models in describing the jump behavior of short-term interest rates .