【摘要】 利用1999-01-04~2004-11-08的周样本数据,发现上交所回购市场上,回购利率期限结构具有显著的风险溢酬,利率期限结构的纯预期假设不成立。进一步分析发现,风险溢酬与利率期限结构的斜率明显相关,斜率越大,风险溢酬越大。利率期限结构的斜率还可以预测短期利率的变化。但风险溢酬与短期利率的波动率相关关系较弱,利率波动风险不是风险溢酬的主要决定因素。考虑到利率变化的高持续性,对回归估计量的小样本分布进行模拟分析发现,上述判断仍然成立。更多还原

【Abstract】 With weekly data of repo term structures in the Shanghai Stock Exchange from January 4 1999 to November 8 2004,it is found that term structure of repo rates has obvious risk premium,and pure expectations hypothesis can’t explain the term structure behavior.Further analysis finds that risk premium is positively related with the slope of the repo interest rate,but it shows weak relation with the volatility of the interest rates,and interest rate risk is not the main determinant of the risk premium.It is also found that short rate change can be predicted with the slope of interest rates.Given high persistent change of interest rates,bootstrap simulation is used to determine the small sample properties of the regression statistics,and the same conclusions are obtained based on the small sample distribution of the estimates.更多还原