风险溢价动态特性的机制转换现象-基于SHIBOR市场的期限结构研究.pdf

风险溢价动态特性的机制转换现象—基于 SHIBOR 市场的期限结构研究# 杨宝臣，苏云鹏* 5 （天津大学管理与经济学部） 摘要：针对 SHIBOR 利率动态特性中存在的机制转换及波动聚集现象，分别将机制转换和 GARCH 效应引入 CIR 模型，构建了带制度转换的 CIR 模型（RSCIR ）以及带制度转换和 GARCH 效应的CIR 模型（RSCIR-GARCH ），并基于SHIBOR 利率数据对CIR 模型、RSCIR 10 模型及RSCIR-GARCH 模型进行对比分析，发现机制转换和 GARCH 设定的引入大幅提高 了模型的数据拟合优度，并消除了利率波动中的ARCH 效应。进一步，基于RSCIR-GARCH 模型对 SHIBOR 市场风险溢价的动态特性进行研究，发现SHIBOR 市场利率波动显著存在 高利率高波动以及低利率低波动两个机制，相应的风险溢价的动态特性也发生了机制转换。 关键词：中图分类号：F830.91 文献标识码：A 15 关键词：金融市场；SHIBOR；风险溢价；机制转换；Cox-Ingersoll-Ross 模型；Kim 滤波 中图分类号：F830.91 Regime switching in dynamics of risk premium: evidence from SHIBOR 20 Yang Baochen, Su Yunpeng (College of Management and Economics, Tianjin University, Tianjin 300072) Abstract: In the light of regime switching and volatility clustering in the dynamics of SHIBOR, regime-switching CIR model (RSCIR) and regime-switching GARCH CIR model (RSCIR-GARCH) are established by introducing regime-switching and GARCH specifications 25 into CIR model successively. Then a contrast study among CIR, RSCIR and RSCIR-GARCH models is performed based on SHIBOR sample data, which indicates that the regime-switching and GARCH specifications improve model fitness significantly and eliminate the ARCH effect in the volatility dynamics. Furthermore, an empirical research is carried out on the risk premium dynamics of SHIBOR under the RSCIR-GARCH model, and it is found that there are two regimes, 30 that is the regime of high level with high volatility and the regime of low level with low volatility, in the dynamics of the term structure and risk premium of SHIBOR.