【作者】 李晔；

【导师】 王春峰；

【作者基本信息】 天津大学 ， 管理科学与工程， 2009， 博士

【摘要】 本文在动态利率模型研究的基础上,对金融市场中最常见的利率的动态形成过程进行深入的研究,在整个研究的过程中,始终与中国的实际经济环境密切联系,始终从使用的角度出发来研究中国市场环境下的利率形成机制问题。全文从四个方面对短期利率的动态行为进行研究:首先,针对短期利率的影响因素研究。通过DCC-GARCH族模型对我国债券市场利率与宏观经济变量间的动态关系进行研究,在时间序列上,揭示了中国市场利率与经济因素之间的内在关系;其次,从马尔可夫模型角度检验了中国债券市场在不同的经济周期下的不同形成机制,在中国的利率研究中是一个新的角度,并进一步研究了包含有宏观经济因素的动态利率模型所反映的经济事实。其次,在高频数据层面上,引入二次变差的模型框架,在分析了各种短期利率动态模型的优劣下,考察了中国市场是否存在利率波动的跳跃特征。并分析中国短期利率的已实现跳跃特征的形成机理。最后,对短期利率短期的动态影响因素进行分析。并提出相应的市场建议。第三,通过对日内利率建立数学模型,区分知情交易和流动性交易对回购利率的冲击,并分析知情交易与回购的交易量、交易规模、价差、交易时点、之间的关系。并将交易持续期的不规则性引入GARCH模型中,建立UFH-GARCH模型解决回购交易时点不均衡带来的计量难题,在此基础上,从信息不对称程度以及交易的流动性成本两方面考察央行公开市场操作公告对回购利率交易行为的影响,以期为政策制定和市场微观结构信息传递理论提供一定的经验证据。最后,从一个全新的角度理解债券市场流动性的成因。基于MRR方法分解债券买卖报价价差。结果表明,中国银行间债券市场做市商面临的首要成本来自存货和订单处理成本。在此基础上,通过主成分分析和归因分析,本文验证了做市商的成本的主要来源就是资金流动性风险,并且做市商之间资金流动性具有很高的相关性,从而造成了银行间债券市场流动性的高度相关性和脆弱性。更多还原

【Abstract】 In this dissertation, we will discuss the price discovery of the Chinese inter-bank short term interest rate, under the fundamental researches on dynamic interest rate term model. The main contents of the dissertation are as follows:Firstly, we establish a well-defined dynamic model DCC-GARCH that combines the short term interest rate, CPI, M2 and GDP, by the results of analyzing the relations between the macro-economic variables and short term interest rate. Then, we introduce Markov Switching Model to depict the Chinese Economic cycle pattern and Regime-Switching mechanism’s change of short term interest rate.Secondly, building on theoretical results for bi-power variation measures, the jump behavior of realized volatility for inter-bank repo interest rate is examined. Realized volatility is divided into two parts: the continuous sample path variation and the discontinuous jump variation. The statistical feature of jump variation is studied, the result indicates that jump component of quadratic variation is the most important determinant for realized volatility. Based on this, the conclusion shows that there is more unique characteristics of jump and realized volatility than Foreign markets and the pattern of jump of are contributed to a variety of factors.Thirdly, based on the market microstructure theories, the impact of asymmetric information on repo trading is analyzed directly. It is represented that the price system can be viewed as information dissemination system, and price, trade (including trade size, direction and time), and the effect of trade on price are all informative. Taking the trading duration, trading volume and price volatility into account, this paper firstly introduces a new approach of measuring intraday pattern by introducing UFH GARCH model.Lastly, using MRR model, we estimate the component of bid-ask spread in China inter-bank bond market, and made the results more reliable. The results show small evidence that the adverse selection and inventory cost exists. The cost underlies bid-ask spread mainly dues to inventory cost and order processing. Based on this, the evidence show that the inventory cost of market maker mainly comes form its funding liquidity.更多还原