• 论文 •

SHIBOR期限结构的再检验

• 出版日期:2014-12-15 发布日期:2014-12-15

Term Structure of SHIBOR Revisited: Cointegration with Multi Structure Breaks

Mo Yang et al.

• Online:2014-12-15 Published:2014-12-15

Abstract: It revisits EH of term structure of SHIBOR by using structure break theory, and finds Campbell and Shiller (1987) model implies two conditions about single interest rate, that is the common structure break points and the same amplitude at the common points. Only two conditions are satisfied simultaneously, EG test does not reject the EH hypothesis spuriously. It modifies the EH model to analyze the reason of EH unavailability in Chinese market. The results show that after excluding disturbance of single interest rates’ break points and interest rate inversion phenomena, EH holds separately among SHIBOR’s short-term and long-term interest rates. SHIBOR’s overnight rate is a stable process with break points.