本文选取多元GARCH方法,利用我国同业拆借市场利率期限结构中四组加权平均月度利率数据进行实证研究。结果表明:除90d数据序列,我国银行同业拆借市场利率波动均值回复现象显著,并具有随利率期限的增长均值回复速度加快的动态特征;90d数据序列异常可能是因市场不确定性的增加促使拆借主体的资金拆借变得"谨慎";另外,各期利率在外界冲击下存在显著的长期异方差效应,并且信息项对方差方程的影响弱于衰减项,这说明利率频繁而又剧烈地调整会引发风险,因此政府应保持货币市场的适度稳定。

The inter-bank market is the major way for financial institutions to raise funds , and the interest rate in inter-bank market has a leading role in financial market .By employing the multivariate GARCH model, this article conducted an empirical study based on four series of data , that is, the monthly weighted average interest rate in China inter-bank lending market.The results showed that, except the 90d data sequence, the fluctuation of mean-reverting process in China's inter-bank offered rate was significant and the mean-reverting speed accelerated with the growth of the interest rate term .The excep-tion might result from the fact that the increase of the market uncertainty developed the "prudent"capital lending.In addi-tion, the period interest rate presented heteroscedasticity and the information had less effect on the scalar difference equation than the decay, which indicated that the frequent and dramatic changes of interest rate led to risk , implying that the govern-ment shou

随着中国利率市场化改革的加速,利率市场的风险管理问题引发了广泛的关注,作为筹集短期流动性资金的主要工具,同业拆借利率(Shibor)逐渐成为各金融机构决策参考的基准利率。在传统的ARMA-GARCH模型的基础上,引入Hurst指数捕捉Shibor的分形特征,使用扩展后的ARFIMA-FIGARCH模型对Shibor的隔夜和7日利率收益率的VaR进行度量和回测检验。结果显示:隔夜和7日利率收益率都具有反持续性,即收益率过去是上升趋势,则未来倾向于下降;考虑分形特征的ARFIMA-FIGARCH模型,比原模型对Shibor的度量更准确;在同业拆借市场中,Ged分布是解释多头VaR的理想选择,而正态分布是解释空头VaR的理想选择。

With the acceleration of China''s market-oriented interest rate reform and the implementation of Basel III ,the risk management in interest market causes widespread concern .As the main tool to raise short-term liquidity ,Shanghai Interbank Offered Rate (Shibor ) has become the benchmark rate w hen financial institutions make decisions ,and is playing an increasingly important role .In this paper ,based on the traditional ARMA-GARCH model ,Hurst index is introduced to capture the fractal characteristics of Shibor ,the expanded ARFIMA-FIGARCH model is used to measure the risk of overnight and 1 week interest rates in Shanghai interbank market , and back-testing is performed for VaR constructed by different models .The results show that Shibor yields have fractal characteristics and anti-persistent ,which means today''s earnings brings on tomorrow''s losing ;Compared with the original one ,ARFIMA-FIGARCH model is more accurate measure of Shibor after consideration of fractal ch

资产价格的剧烈波动是目前经济金融不稳定的主要根源。本文以2001年1月至2013年12月房地产价格、股票价格、银行信贷规模、工业增加值增长率、银行间同业拆借利率的月度数据对我国资产价格与银行信贷的相互关系进行实证了，股票价格上涨将推动银行信贷的扩张，而银行的信贷扩张并不是股票价格上涨的原因；银行信贷扩张会导致房地产价格上涨，但房地产价格上涨不是银行信贷扩张的原因。并在实证分析基础上，给出相应的对策建议。

Sharp fluctuations of Assets price is the major source of instability of economic and finance. In this paper, we take the monthly data of stock prices、real estate prices、bank credit、the industry growth rates and interbank loan interest rate which from 2001 to 2013, to established a five variables VAR model. Through researching on the relationship between the variables,we find a rise in share price can lead to the expansion of bank credit, but the expansion of bank credit is not stock for much of the increase;and we get the different conclusions on estate market is that bank credit expansion will lead to real estate prices, but the real estate prices is not the cause of the bank credit expansion. Finally , several policy and Suggestions are given.

预期的形式决定了经济主体的前瞻性行为，体现为不同形状的收益率曲线，是货币政策制定和执行必须考虑的微观行为基础。基于利率期限结构的理性预期理论和适应性预期理论，本文采用单位根检验、协整检验和线性回归方法，对我国银行间同业拆借利率体系（ Shibor ）进行实证研究，发现Shibor整体、短端和以3个月利率为短期的中长端利率组合均符合适应性预期理论，但理性预期假设没有通过显著性检验。

The form of expectation determines the forward -looking behavior of economic subject , in the form of the dif-ferent shapes of the yield curve .It is the microscopic behavior basis that must be considered before monetary policy for -mulation and implementation .Based on the rational expectation and adaptive expectation , this paper utilizes the unit root test , cointegration test and linear regression method to make empirical research on Shanghai Interbank Offered Rate ( Shi-bor ) .It is shown that the adaptive expectation is valid for not only the whole Shibor , but also for its short -end and lon-ger term combinations which uses 3-month rate as short term rate , while the rational expectation hypothesis fail to pass the test of significance .

选取多种利率指标和上证综指,运用基于VECM的Granger因果关系检验、脉冲响应分析方法,从宏观与微观、静态与动态、短期与长期层面,系统地对股改前后货币市场及股票市场的关联性展开研究.通过股改前后两阶段对比发现：货币市场与股票市场关联性从无发展为低度负相关,即关联性增强,并具有时滞性和非对称性特点.同时发现,同业拆借市场较回购市场与股票市场的关联更显著.最后提出建立更多合规的货币市场和股票市场间资金流动渠道等政策建议.

Based on the turning point of the non-tradable shares reform,this paper discusses the linkage between the money market and the stock market in China from the perspective of the macro and micro,static and dynamic, short-term and long-term. With a series of interest rates and the Shanghai Composite Index,it employs a battery of approaches, including the correlation analysis, the Granger causality test based on the VEC model, the impulse response analysis and the Johansen Co-integration test,to conduct the related research. The results indicate that the linkage between the money market and the stock market,with the features of time-lag and asymmetry,enhances slightly. In the end,this paper puts forward the policy suggestions that the Chinese government should build more legal money movement channels between the money market and the stock market and so on.