| 我国国债回购市场利率期限结构分析 |
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| 引用本文： | 肖铁山.我国国债回购市场利率期限结构分析[J].科学技术与工程,2009,9(7). |
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| 作者姓名： | 肖铁山 |
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| 作者单位： | 上海交通大学安泰经济与管理学院,上海,200030 |
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| 摘 要： | 通过建立利率期限结构模型,依照利率期限结构的预期理论,对我国上海证券交易所的国债回购利率进行了Philips and Hansen 协整检验和Johansen协整检验.最后得出结论:我国的国债回购市场利率仅部分可以被预期理论所解释,且随着利率期限的延长解释力度逐步降低,较长期限与较短期限的利率之间存在着过度反应,偏离预期理论.
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| 关 键 词： | 利率期限结构 实证分析 ADF检验 协整检验 |
Term structure analysis of the bond repurchasing interest rates market of China |
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| XIAO Tie-shan.Term structure analysis of the bond repurchasing interest rates market of China[J].Science Technology and Engineering,2009,9(7). |
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| Authors: | XIAO Tie-shan |
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| Institution: | ACEM of Shanghai Jiaotong University;Shanghai 200030;P.R.China |
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| Abstract: | Through the establishment of the interest rates term structure model,Philips and Hansen co-integration test and Johansen co-integration test are conducted to the bond repurchase rates of Shanghai Stock Exchange in accordance with the expectation theory of interest rates term structure.Finally,It is concluded theory repurchase interest rates in China's bond market can only be explained partially by the expectation theory,and the efforts of the explanation decrease gradually as the extension of the duration.T... |
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| Keywords: | interest rates term structure demonstration analysis ADF test co-integration test |
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