中国利率期限结构的非线性动态研究

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。

The Nonlinear Dynamic of the Term Structure of Interest Rates in China

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.