SHIBOR期限结构的再检验

本文利用结构突变理论重新检验EH假说，发现Campbell和Shiller(1987)模型隐含了有关单一利率的结构突变特征的两个条件：存在共同结构突变点；在共同突变点的突变幅度也完全相同。只有同时满足两个条件，传统EG检验才不会错误拒绝EH假说。本文针对z这些问题改进了实证模型，重点转变为分析EH假说在中国市场不成立的原因，发现排除“利率倒挂”和各利率的共同结构突变点的干扰以后，EH假说分别在SHIBOR长短期利率成立。SHIBOR隔夜拆借利率是一个结构突变的稳定过程。

Term Structure of SHIBOR Revisited: Cointegration with Multi Structure Breaks

It revisits EH of term structure of SHIBOR by using structure break theory, and finds Campbell and Shiller (1987) model implies two conditions about single interest rate, that is the common structure break points and the same amplitude at the common points. Only two conditions are satisfied simultaneously, EG test does not reject the EH hypothesis spuriously. It modifies the EH model to analyze the reason of EH unavailability in Chinese market. The results show that after excluding disturbance of single interest rates’ break points and interest rate inversion phenomena, EH holds separately among SHIBOR’s short-term and long-term interest rates. SHIBOR’s overnight rate is a stable process with break points.