文档介绍：交易所国债回购利率期限结构研究
于鑫
(上海财经大学金融学院,上海 200433)
摘要:本文对上海证券交易所国债回购利率的利率期限结构进行了研究。与以往研究结果不同,本文使用GMM方法克服了国内学者在预期理论实证研究中的估计偏误。本文发现,在假定期限溢价为常数时不支持预期理论,但把时变的期限溢价引入检验模型中时,实证结果支持了预期理论。但期限溢价及即期利率价差仅能部分解释未来短期利率的变动,预测效果较差,还需要对流动性、投资者的风险偏好等可能的影响因素作进一步分析,以期提高对市场利率变化的预测精度。
关键词:利率期限结构;预期理论;国债回购
作者简介:于鑫,上海财经大学金融学院博士生。
中图分类号: 文献标识码:A
An empirical analysis on term structure of exchange repurchase rates
Yuxin
( School of Finance,Shanghai University of Finance and Economics,Shanghai 200433 )
Abstract: This paper studies the term structure of exchange repurchase rates using weekly data spanning 1997-9-1—2006-12-31, ., the period after the Asia financial crisis. Different from the previous research, using GMM method, we first correct the estimate error that was often caused by domestic study, secondly, we find that the expectations Hypothesis was rejected when we assume a constant term premium, however, we are unable to reject a modified version of EH that incorporate time-varying term premium. But the term spreads and term premium are poor predictors of future short-term rates.
Keywords: term structure of interest rates; expectations hypothesis; time-varying term premium; GMM
引言
目前对金融市场的监管过程中,对利率期限结构的关注日益增多,这主要由几方面因素决定的:首先,国外学者运用一系列经济指标进行大量的实证研究表明,利率期限结构的斜率对于经济未来时期内的变化具有一定预测作用,如Estrella和Hardouvelis(1991)[1]的研究表明,一个向下倾斜的期限结构往往伴随着未来经济增长的减慢甚至衰退,Bernanke(1990)[2]、Harvey(1991)[3]、Kamara