基于交易者非理性假定的利率期限结构模型：理论与实证

doi:10.16381/j.cnki.issn1003-207x.2020.1090

Abstract

Abstract:

The efficient market hypothesis based on rational expectation hypothesis holds that when the market is completely efficient， asset prices completely reflect all information and obey martingale process. However， a large number of empirical studies show that many anomalies of interest rates are actually the expression of irrational sentiment in the market. The “failure” of the efficient market hypothesis shakes the rational expectation assumption of the term structure model of interest rates. Traders are divided into noise traders who represent irrational trading and information traders who represent rational trading， and a term structure model of interest rates is established based on traders' irrational assumption. Taking Chinese market as a sample， the irrational fluctuation degree and influencing factors of the weighted interest rate of pledge style repo and that of exchange repo are studied. The results show that in the same market， the longer the term of interest rate is， the higher the degree of irrational volatility is； the irrational volatility of exchange rate in the same period is higher than that in the inter-bank market； “interest rate duration”， “regulatory system” and “net amount of operating funds in the open market of the central bank” are not the factors leading to the irrational fluctuation of China's interest rates， and the “investor heterogeneity” factor has an impact on the irrational fluctuation of China's interest rates Movement has a significant effect. The research shows that： the open market operation has not played a role in restraining the irrational fluctuation of interest rate， so how to restrain the irrational fluctuation of interest rate through better system construction and policy operation should be the key policy consideration； in addition， noise trading and investor heterogeneity are important factors leading to irrational interest rate fluctuations， and the central bank should strengthen the management of interest rate expectation in the money market to restrain interest rate The rate fluctuates irrationally.

Key words: trader heterogeneity, irrationality, interest rates term structure model, noise trading

CLC Number:

F820.2

Hua CHEN,Xiao-ya ZHENG,Rong CHEN, et al. An Interest Rate Term Structure Model Based on the Hypothesis of Irrational Traders: A Theoretical and Empirical Study[J]. Chinese Journal of Management Science, 2023, 31(12): 79-86.

Figures/Tables 6

参数	估计值	标准差
$a 1$	0.9357	0.0084
$a 2$	0.8688	0.0187
$a 3$	0.4399	0.0384
$c 1$	-0.9926	5.0467
$c 2$	0.0330	0.0969
$c 3$	-0.0160	0.0822
$c 21$	1.5538	5.1455
$c 31$	0.3607	0.1284
$c 32$	-0.2036	0.0940
$q$	0.4628	0.2072
极大似然值	-9.8162*1.0e+05	—

$s p e c i t$	数量	均值	标准值	最小值	最大值
银行间市场_隔夜	1664	1.052104	0.8488671	0.002424	4.842289
交易所_隔夜	1664	4.274188	3.034349	0.0014589	15.91197
银行间市场_7天	1664	0.526052	0.4244336	0.001212	2.421144
交易所_7天	1664	1.045235	0.7976549	0.0002106	4.441041
银行间市场_1月	1664	0.245491	0.198069	0.0005656	1.129867
交易所_1月	1664	0.8626372	0.6621353	0.0001551	3.235673

$χ 2$ 统计量	自由度	P值
0.03	10	1.000

解释变量	估计值
常数项	2.83^**（0.90）
利率期限	-0.06（0.04）
监管体制	1.09（1.34）
央行公开市场操作资金净投放量（百亿元）	0.0002（0.0019）
银行融资占比（%）	-5.47^***（0.95）
证券公司融资占比（%）	-0.63（1.00）
保险公司融资占比（%）	-11.62^***（1.55）
金融产品融资占比（%）	-4.88^***（0.73）
非金融机构投资者融资占比（%）	-15.81^***（1.71）
银行出资占比（%）	0.89（0.87）
证券公司出资占比（%）	7.67（5.62）
保险公司出资占比（%）	1.10（0.77）
金融产品出资占比（%）	7.16^***（0.79）
非金融机构投资者出资占比（%）	6.53^***（0.83）
样本数量	12624
Wald $χ 2 (13)$	349.92
Prob $> χ 2$	0.0000

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变量名称	变量符号	观测值	均值	标准差	最小值	最大
利率期限	term	12624	12.66667	12.49938	1	30
监管体制	regulation	12624	0.5	0.50002	0	1
央行公开市场操作资金净投放量	omo	12624	0.373165	6.203749	-66.3	95
银行融资占比（%）	bbank	12624	0.356073	0.356943	0	0.801048
证券公司融资占（%）	bsecurities	12624	0.06911	0.068857	0	0.25262
保险公司融资占（%）	binsurance	12624	0.036359	0.036588	0	0.137156
金融产品融资占（%）	bfund	12624	0.208213	0.226362	0	0.722175
非金融机构参与者融资占比（%）	bothers	12624	0.035594	0.065716	0	0.234579
银行出资占比（%）	lbank	12624	0.429895	0.43056	0	0.937474
证券公司融资占（%）	lsecurities	12624	0.005714	0.007925	0	0.037187
保险公司融资占（%）	linsurance	12624	0.048615	0.092407	0	0.461455
金融产品融资占（%）	lfund	12624	0.14053	0.161576	0	0.579596
非金融机构参与者融资占比（%）	lothers	12624	0.099088	0.179849	0	0.722665

An Interest Rate Term Structure Model Based on the Hypothesis of Irrational Traders: A Theoretical and Empirical Study

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