CAJ | 학술논문

以1996年1月至2010年3月中国银行间同业拆借市场月度加权平均利率作为研究对象,应用协整检验方法和线性向量误差修正模型对利率期限结构的预期理论进行实证检验,应用马尔科夫区制转移向量误差修正模型研究预期理论调整作用下的利率期限结构非线性动态过程。研究结果表明,预期理论在中国利率期限结构中是成立的;利率期限结构具有两区制的非线性动态特征,可以按预期理论的调整强度将两种区制分别描述为强调整区制和弱调整区制;不同期限利率的平均变动幅度和平均风险溢价水平随区制状态变化而发生变化,具有区制相依性,区制间的转移具有非对称性。因此,应该进一步加强对利率期限结构中经济信息的识别和应用,进一步提高利率期限结构的政策参考价值。
이1996년1월지2010년3월중국은행간동업탁차시장월도가권평균리솔작위연구대상,응용협정검험방법화선성향량오차수정모형대리솔기한결구적예기이론진행실증검험,응용마이과부구제전이향량오차수정모형연구예기이론조정작용하적리솔기한결구비선성동태과정。연구결과표명,예기이론재중국리솔기한결구중시성립적;리솔기한결구구유량구제적비선성동태특정,가이안예기이론적조정강도장량충구제분별묘술위강조정구제화약조정구제;불동기한리솔적평균변동폭도화평균풍험일개수평수구제상태변화이발생변화,구유구제상의성,구제간적전이구유비대칭성。인차,응해진일보가강대리솔기한결구중경제신식적식별화응용,진일보제고리솔기한결구적정책삼고개치。
In this paper,we study the effect of the term structure of interbank interest rates based expectation theory with cointegration method and VECM using data of weighted average interest rate of Chinese interbank lending market from January 1996 to March 2010 in China.Moreover,we study nonlinear dynamic process of the term structure under the adjustment of expectation theory with MS-VECM.The expectation theory is established in the term structure.Under the adjustment of expectation theory,dynamic process of the term structure is nonlinear,and the two regimes can be described by strong adjustment regime and weak adjustment regime according to the intensity of adjustment.Different term interest rate changes with the change of the regimes,and the changing of each regime is asymmetric.Therefore,it should be to find more economic information in the term structure,and make more use of the term structure in policy making.