| 基于偏t分布的Shibor隔夜拆借利率影响因素分析 |
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| 引用本文： | 李海涛,王欣,方兆本.基于偏t分布的Shibor隔夜拆借利率影响因素分析[J].系统工程,2008,26(9). |
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| 作者姓名： | 李海涛 王欣 方兆本 |
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| 作者单位： | 中国科技大学,统计与金融系,安徽,合肥,230027 |
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| 摘 要： | 由于隔夜拆借利率更能有效反映货币市场短期资金供求关系,本文通过建立Garch模型分析影响Shibor隔夜拆借利率波动性的各种因素,发现新股发行对其影响显著远大于存款准备金制度;随着央行不断提高法定存款准备金率,准备金制度对波动性的影响有增强趋势.这一结论可以为央行把握存款准备金制度改革进程,准确估计Shibor隔夜利率的走势提供参考;也有利于央行更好地制定金融市场政策,实现货币政策既定目标.
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| 关 键 词： | 隔夜拆借利率 GARCH模型 波动性 偏t分布 |
Factors Analysis on Shibor Overnight Offer Interest Rate Based on Skewed-t Distribution |
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| LI Hai-tao,WANG Xin,FANG Zhao-ben.Factors Analysis on Shibor Overnight Offer Interest Rate Based on Skewed-t Distribution[J].Systems Engineering,2008,26(9). |
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| Authors: | LI Hai-tao WANG Xin FANG Zhao-ben |
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| Institution: | Department of Statistics and Finance;University of Science and Technology of China;Hefei 230027;China |
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| Abstract: | Overnight interest rates always reflect the relationship more effectively between supply and demand of short-term liquidity in the monetary market. Using Garch Model this paper analyzes the factors which influence the volatility of Shibor Overnight Interest Rate.We find that Reserve Fund Requirement's contribution is more significant to SOR' volatility than that of IPO,and the impact of Required Reserve get more strong along with Central Bank' adjustments of Required Reserve Ratio.Our conclusion is benefici... |
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| Keywords: | Shibor |
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