我國短期利率的馬爾可夫體制轉(zhuǎn)換模型的實(shí)證分析.pdf

1、廈門大學(xué)碩士學(xué)位論文我國短期利率的馬爾可夫體制轉(zhuǎn)換模型的實(shí)證分析姓名：李阿庭申請學(xué)位級(jí)別：碩士專業(yè)：概率論與數(shù)理統(tǒng)計(jì)指導(dǎo)教師：黃榮坦20080609AbstractTheinterestrateisthemostimportantvariableforpriceinthefinancemarketIntheinterestratesystemthatcontainsvariousdifferenttermstructures，thesh

2、ortterminterestratetakesupanimportantstationItaffectsthepricingoffixedincomesecuritiesandtheirderivativesdirtilyandisalsoimportantfortheanalysisoftheriskmanagementoftheinterestrate，thepricingofassetsandtheyieldCtllveInad

3、ditiontheshortterminterestratetakesupamajorstationinthetransmitofmonetarypolicy、M廿ltheimportanceoftheshortterminterestrate，itmakesanimportantSOllsetoinvestigateitsdynamicbehaviorConsequentlythepapertakesthe7dateinterbank

4、ratesastherepresentationofshortterminterestrate，andadoptsamarkovregimeswitchingmodelforitAtpresent，manycountrieshaveadoptedthemarkovregimeswitchingmodelfortheshortterminterestrate，andhavemadeagoodresultHowevertherearefew

5、articlestakingthiskindofmodeltoanalyzethedynamicbehavioroftheshortterminter囂trateinourcountryWithinvestigationwefindthattheshortterminterestrateofourcountrysatisfiesatworegimemarkovregimeswitchingmodelTheshort—terrninter

6、estrateissimilartoaunitrootprocesswhentheshortterminterestrateislowandthevarianceofshortqerminterestrateissmall，anddisplaysmeanreversionbehaviorwhentheshortterminterestrateishighandthevarianceofAtthesametime，becausethepo

7、werofstandardunitroottestislowwhenitteststhedatawhichsubjectstegimeswitchingthepaperappliesanewapproachofunitroottestcallingMarkovSwitchingunitroottest(MSADFforshortlatef)IthasbeenprovedthattheMSADFperformsbetterthanthes