银行间同业拆借利率走势的统计分析

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1、山东大学硕士学位论文StatisticalAnalysisoftheShanghaiInterbankOfferedRateGUOChangmei(Schoolofmathematics，ShandongUniversity,Jinan，250100)(Professor：LINLu)ABSTRACTInterbankofferedrateistheinterestrateinborrowingshort-termfundsbyfinancialinstitutions．especiallythecommercialbanks．Theinterestratesareaffectedth

2、ebythesupplyanddemandofmoney'whosevolatilitythechangesaffecttheprofitabihtyandcapitalsecurityofcommercialbanks．ShanghaiInterbank0fferedRatebecomesChina’Sbenchmarkinterestratesinceitsimplementgradually．Itsymbolizesthemarket—basedreformofinterestrate．However，in2013，’’currencyscarcity’’eventcausedo

3、vernightinterbankofferedratesoaringto13．44％．Itarousedwideattentiontoliquidityandinterbankinterestrates．Therefore，thisthesisattemptstoanalyzethefactorsthatmayaffecttheinterbankofferedrateandestablishanappropriatemodeltofitthetrend．Itmayprovidesomebasisforfinancialinstitutions．suchascommercialbank

4、stoavoidtheliquidityrisk．ThisthesisusestheShanghaiInterbankOfferedRate(Shibor)aSthedatasource．andtheovernightandsevendaysinterbankofferedrateasthemainobjects．Bothseriesofdatadatesbackto2007whenitcameintoeffect．Firstly,thisthesisreviewstheresearchliteraturestudyingShibor．DomesticstudyaboutShiborc

5、anbeclassifiedasinfluencefactors．fittingmodelandinterestratetermstructureandsomeotheraspects．Thetermstructuregetmoreandmoreattentionrecentyears．Secondly,thethesisdiscussesinfluencefactorsoninterbankinterestratesfromaneconomicpointofview．aswellasthedirectionandextentoftheimpact．Thethirdpartintrod

6、ucesthetheoriesandmodelsusedintheovernightandsevendaysinterbankofferedrate．AtIII——山东大学硕士学位论文last，ARMAandARCHFamilyModelsareusedinanalyzingShibor．tolookforthebestwaytoportraythetrendofShiborandtodiscusstheprosandconsofeachmodel．TheGARCH，EGARCHandTARCHwereusedlessinfittingovernightandoneweekinterb

7、ankofferedratesinthegeneralizederrordistributionandtdistribution．Accordingtotheresearch，Shiborhassignificantautocorrelationandhet—eroscedasticity，SOthatARCHfamilymodelsfittheovernightandsevendaysinterbankofferedrate’Smovemen