| 基于中国国债回购市场数据的利率预期理论检验 |
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| 引用本文： | 肖杨.基于中国国债回购市场数据的利率预期理论检验[J].石家庄职业技术学院学报,2011,23(6):11-14. |
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| 作者姓名： | 肖杨 |
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| 作者单位： | 石家庄职业技术学院管理系,河北石家庄,050081 |
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| 摘 要： | 在给出利率期限结构预期假说的定义及其推论的基础上，利用单位根和多变量协整检验方法对中国上交所国债回购市场的利率数据进行了检验，结．果表明，各国债回购利率序列均为一阶单整，由各个国债回购利率所构成的利率系统仅由一个共同的随机趋势驱动．这说明利率预期假说在中国国债回购市场是有效的．同时，利用向量误差修正模型对各个国债回购利率的估计结果进一步验证了此结论的正确性．
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| 关 键 词： | 预期假说 单位根 协整 误差修正模型 |
On the monitoring of the rate expectation theory and the repurchcasing of governmental bonds |
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| XIAO Yang.On the monitoring of the rate expectation theory and the repurchcasing of governmental bonds[J].Journal of Shijiazhuang Vocational Technology Institute,2011,23(6):11-14. |
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| Authors: | XIAO Yang |
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| Institution: | XIAO Yang (Department of Management,Shijiazhuang Vocational Technology Institute,Shijiazhuang,Hebei 050081,China) |
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| Abstract: | On the basis of the rate expectation theory and inferential hypothesis,this paper discusses the repurchasing of the governmental bonds in Shanghai stock exchange.Result shows that it is a single order sequence and the rate system is constructed by all the repurchases.Thus,the rate expectation hypothesis is effective in the repurchase market of the governmental bonds.And it is further verifed by the error correction. |
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| Keywords: | expectation hypothesis unit root integration error correction model |
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