132 SHIBOR,,, ( ) 20 SHIBOR 578, 75.51%,SHIBOR 36.27%, ;,,6 61.2, 2.56%,7 60.4, 2.54%,, , SHIBOR,,, SHIBOR,, SHIBOR SHIBOR,,, SHIBOR,

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1 3 1 ChinaJournalofEconomics Vol.3,No.1: March2016 SHIBOR 1 SHIBOR 2 3,, (SHIBOR),, , SHIBOR : SHIBOR ;, SHIBOR SHIBOR,,SHIBOR SHIBOR,SHIBOR, SHIBOR ;SHIBOR; ; ;GC-MSV DOI: /j.cnki.cje , 1 (14JZD007) (11ZGXM79001) ( ), 2,, huanyu1025@126.com 3,, zhoukg@mail.sysu.edu.cn

2 132 SHIBOR,,, ( ) 20 SHIBOR 578, 75.51%,SHIBOR 36.27%, ;,,6 61.2, 2.56%,7 60.4, 2.54%,, , SHIBOR,,, SHIBOR,, SHIBOR SHIBOR,,, SHIBOR, SHIBOR, 1,GrossmanandShiler(1981),,, (FlanneryandJames(1984) ), BernankeandKutner(2005) : 25%, 1%, AlamandUddin(2009),,, 300,

3 , :SHIBOR,, (,2011), ( ) (Edwards,1988) CummingsandFrino(2011),,,, SHIBOR,SHIBOR (2009) VAR, (2011) SHIBOR LIBOR SHIBOR, SHIBOR SHIBOR, (2011) SHIBOR KMV, SHIBOR,,,,, ECM, ARIMA, (2013) VAR, (2013) MS-ECM,, ARCH MSV Engle(1982) Bolerslev(1986) ARCH GARCH,Babaetal.(1991) GARCH-BEKK, (2007) VAR-GARCH-BEKK, (2009) VECM-GARCH-BEKK, GARCH ; GARCH, EGARCH GJR-GARCH DCC-GARCH

4 134 (2008), (2011) CCF, GARCH Yuand Meyer(2006) Taylor(1994)SV, GARCH,,, GARCH MSV,Kimetal.(1998) Yu(2002), GARCH MSV, t GED (2011) 300 SV-N SV-T SV-GED, Archimedean- Copula, t GED, Copula, (2013), GC-MSV, 2 GC-MSV, ; 3 SHIBOR, SHIBOR, SHIBOR ; 4 SHIBOR 2 pt t, t-1 t ( ) Rt=ln(pt/pt-1), σ, d(lnp)=μdt+σdw W (t), μ σ,rt i.i.d.,rt=μ+σεt,εt ~ N(0,1), σt, :Rt=μ+σtεt,ln(σt)=mu+ [ln(σt-1)-mu]+sigma.η t-1 εt η t, [0,1], GC-MSV :

5 , :SHIBOR 烄 Rt = exp (σ1,t/2) 0 烌 i.i.d 烆 0 exp(σ2,t/2 ) εt,εt ~ N(0, Σε) (1) 烎烄烆 σt = σ1,t σ2, t 烎烌烄 = mu1 烌烆 mu 2 烎烄 12 烌烄烆 0 22 烎烆 + 11 σ1,t-1 -mu1 σ2,t-1 -mu 2 烎烌 +η (2) t-1 烄 Rt= R1,t 烌烄,Σε= 1 ρ ε 烌 R2, t 烆烎烆 ρ 1, ρ SHIBOR ε ε 烎, σ 2 η t~ i.i.d 烄 0 烌 η1, ρ 0 σ ε~u (-1,1) 2 η2 烆烎, SHIBOR =0, SHIBOR, SHIBOR (2), : 烄 σt = mu1 烌 σ1,t-1 -mu1 烄烌烄烌 +η (3) 烆 mu 2 21 烎烆 22 σ2,t-1 烎烆 -mu t-1 2 烎 12 21, , ρ, ε ρ ε SHIBOR, ρ ε, ρ ε (1)(3) SHIBOR 1 SV, εt t GED, εt α=( ρ ε,mu1,mu2, 11, 12, 21, 22,σ 2,σ 2 ) η1 η2, Andersen(1999), MCMC,MCMC, MCMC T, θ=(α,σ 1,σ 2,,σ T),σi=(σi,1,σi,2), f(.), θ : T f(α)f(σ1) f(σt α)= t=2 T f(mu1)f(mu2)f( 11)f( 12)f( 21)f( 22)f(σ 2 )f(σ 2 )f(σ1) f(σt η1 η2 α) t=2

6 136 T T f(θ R) f(θ)f(r θ) f(α)f(σ1) α) f(rt σt) (4) t=2f(σt t=2 α : f(α R)= h 1 h T f(α,σ1,,σt)dσt dσ1 (5) θ (4) (5) α,mcmc Gibbs Metropolis-Hastings, Gibbs MCMC, θ θ (0) (0) = ( ρ ε,mu (0) 1,mu (0) 2, (0) 11, (0) 12, (0) 21, (0) 22,σ 2(0),σ 2(0),σ (0) 1, η1 η2 2,,σ (0) T ), R=(R1,R2, RT), : σ (0) (1) f( ε ρ mu (0) 1,mu (0) 2, (0) 11, (0) 12, (0) 21, (0) 22,σ 2(0),σ 2(0),σ (0) 1,σ (0) 2,,σ (0) T,R) η1 η2 f(mu (1) (1) 1 ρ ε,mu (0) 2, (0) 11, (0) 12, (0) 21, (0) 22,σ 2(0),σ 2(0),σ (0) 1,σ (0) 2,,σ (0) T,R) η1 η2 f(σ (1) T ρ (1) ε,mu (1) 1,mu (1) 2, (1) 11, (1) 12, (1) 21, φ (1) 22,σ 2(1) η1,σ 2(1) η2,σ (1) 1,σ (1) 2,,σ (1) T-1,R) Gibbs, θ (1) M, M,θ (M) f(α R),M N (t) θi t=m N, θ (M) θ (N),^θi = N -M +1,GelmanandRubin(1992) m θ GR 1 (θ i mn t -^θi) 2 + m i=1 2n m +1 (^θi -^θ) m(m -1) 2 : GR 1, ; i=1 GR 1, ( ), t=n+1 Rt SHIBOR T 2, (1) (3) 3, 20 SHIBOR,,

7 , :SHIBOR IF SHIBOR 11:30 SHIBOR,, SHIBOR IF , SHIBOR Shiboron SHIBOR Shibor1w SHIBOR Shibor2w IF, 3 wind htp:// 3.1 Rt=ln[pt/pt-1], 2, Ri,t =ln[pi,t/pi,t-1]- 1 T ln[pi,t/pi,t-1], T -1 t=2, T SHIBOR RIF Rshiboron Rshibor1w Rshibor2w 1 SHIBOR,SHIBOR ; SHIBOR,,,,SHIBOR ; 3, SHIBOR ; SHIBOR,,SHIBOR SHIBOR,,, ;JB 2, 0.5%, 2 1 SHIBOR RIF Rshiboron Rshibor1w Rshibor2w -1.39E E E E JB

8 SHIBOR,, SHIBOR, IF SHIBOR Eviews6.0 R IF R shiboron 36, R IF Q 10%, R shiboron Q 5%, R IF, R shiboron, SHIBOR VAR 2 SHIBOR, ADF PP, R shiboron ARMA, AIC,, : R shiboront = R shiboront ζ t ζ t-1 (0.110) (0.113) (0.036) ζ, 1%, t ARCH ( ARCH ) R IF ARMA, ARCH GARCH, MSV (1)(3) 2 ADF PP RIF Rshiboron Rshibor1w Rshibor2w *** *** (0.00) (0.00) *** *** (0.00) (0.00) *** *** (0.00) (0.00) *** *** (0.00) (0.00) :*** ** * 10%,5%,1%, p 3.3 SHIBOR Winbugs1.4, (1) (3)

9 , :SHIBOR, Ntzoufras(2009) Meyerand Yu(2000) α,,,, 12000, 12001~ , 12000, GR ~ ~ ~ ~20000 mu mu ρε , GR 1, 1 1, 4, MC, MC, Winbugs 12 21, t,t 0.05 (500)=1.965,t 0.05 (793)<t 0.05 (500), t ( / ), t 1.965,,, 12=0.0221, 21=0.2124, SHIBOR,, 21> 12,SHIBOR ; 11= , 22=0.885,, ; ρ ε= , SHIBOR 0, ρ ε,shibor,, SHIBOR SHIBOR,SHIBOR, SHIBOR

10 140 1 GR 1, ρε SHIBOR,, ;,SHIBOR, 4 SHIBOR mu1 mu ρε MC E E phi1star phi12 phi21 phi2star rho (2) (3) ρε

11 , :SHIBOR SHIBOR SHIBOR, SHIBOR, 12000, 12001~20000 GR, 5 6 GR 1, 5 6 MC 5 SHIBOR mu1 mu ρε MC E E SHIBOR mu1 mu ρε MC E E E-04 5 ρ ε= , 6 ρ ε= , ρ ε, SHIBOR, SHIBOR SHIBOR, SHIBOR, SHIBOR , SHIBOR SHIBOR SHIBOR, t 5 6, 21> 12, 4 SHIBOR SHIBOR ;, SHIBOR, SHIBOR, SHIBOR SHIBOR, : SHIBOR ; 4 21 =0.2124, 5 21 =0.1545, 6 21 = , SHIBOR SHIBOR, SHIBOR,,,

12 SHIBOR SHIBOR, (CummingsandFrino,2011), SHIBOR, SHIBOR, ; SHIBOR, ( ) SHIBOR, ( ),,,,SHIBOR SHIBOR (SHIBOR e ) (SHIBOR u ),,,, SHIBOR SHIBOR, SHIBOR 1, SHIBOR 10%, SHIBOR ( 7) 7, SHIBOR SHIBOR, SHIBOR,, SHIBOR, SHIBOR SHIBOR,, SHIBOR, i T2 T2-i T1 T1 1 T2-T1 f T1 T 2 f T1 T = 2 1+i T1 T1 12 T1 T2, 1, i T1 i T2 T2-T1 SHIBORf1w,2w,T1=0.25,T2=0.5

13 , :SHIBOR SHIBOR,,,SHIBOR,, 7 SHIBOR SHIBOR SHIBOR (a) (b) (c) (d) ΔSHIBOR (-1.403) (-0.812) ΔSHIBOR e (-1.318) (-0.733) ΔSHIBOR u (-1.587) (-1.632) * * 2.70e e e e-4 (0.024) (0.050) (0.325) (0.315) R :ΔSHIBOR u =ft -ft-1,δshibor e =ΔSHIBOR-ΔSHIBOR u,(a)(c) RIFt =α+ βδshibort+εt,(b)(d) RIFt=α+β e ΔSHIBOR e +β u ΔSHIBOR u +εt;*** ** * 99% 95% 90%, t SHIBOR ( ), , SHIBOR R HS300, 300,R HS300 SHIBOR SHIBOR, SHIBOR R HS300,,SHIBOR SHIBOR SHIBOR ( ) R HS300 ( ), SHIBOR, ;, R HS300t=β 1+ β, 2RShibort+ut 8

14 144 2 SHIBIR 8,, SHIBOR ( SHIBOR, ), SHIBOR,, SHIBOR (2004) 8 SHIBOR t Rshiboron Rshiboron(-1) Rshiboron(-2) ** Rshibor1w * Rshibor2w * :*** ** * 99% 95% 90%,SHIBOR,,,,

15 , :SHIBOR, SHIBOR,,SHIBOR,SHIBOR,,, SHIBOR,,,, SHIBOR,, SHIBOR, SHIBOR,, SHIBOR,,, SHIBOR, (SLF), 1~ 3, SLF, SHIBOR, 4 : SHIBOR, SHIBOR,,,SHIBOR,SHIBOR SHIBOR, SHIBOR SHIBOR SHIBOR, SHIBOR SHIBOR,,SHIBOR, ;SHIBOR,,SHIBOR SHIBOR,,

16 146, SHIBOR,,, SHIBOR :,, ;, SHIBOR,,,, SHIBOR,, SVAR [J].,(8):41-47.,.2009.SHIBOR SHIBOR [J].,(1):85-92., Copula-SV-t 300 [J].,41(16):10-16.,, A : [J].,(8):15-25., [J].,28 (11):80-86.,.2011.Shibor [J].,(1):24-27.,, MS-VECM [J].,(9):19-34.,,, [J]., 36(5): , [J]., (6):77-78., GC-MSV [J].,(2):32-41.

17 , :SHIBOR,, [J]., (1):63-75., KMV [J].,(3): [J]., (3): BabaY,EngleRF,KraftDF,etal.1991.Multivariatesimultaneousgeneralised ARCH[R].WorkingPaper,UniversityofCalifornia,SanDiego:Department ofeconomics. BernankeBS,KutnerK N.2005.Whatexplainsthestock market sreactionto federalreservepolicy [J].TheJournalof Finance,60(3): BolerslevT.1986.Generalizedautoregressiveconditionalheteroskedasticity[J]. Journalof Econometrics,31(3): CummingsJR,FrinoA.2011.Indexarbitrageandthepricingrelationshipbetween Australianstockindexfuturesandtheirunderlyingshares[J].Accounting and Finance,51(3): EdwardsF R.1988.Futurestradingandcash marketvolatility:stockindexand interestratefutures[j].thejournalof Futures Markets,8(4): EngleRF.1982.Autoregressiveconditionalheteroscedasticitywithestimatesofthe varianceofunitedkingdominflation[j].econometrica,50(4): Gelman A,Rubin D B.1992.Inferencefrom iterativesimulation using multiple sequences[j].statisticalscience,7(4): GrossmanSJ,ShilerRJ.1981.Thedeterminantsofthevariabilityofstockmarket prices[j].the American Economic Review,71(2): KimS,ShephardN,ChibS.1998.Stochasticvolatility:Likelihoodinferenceand comparisonwitharch models[j].the Review of EconomicStudies,65(3): Flannery MJ,JamesC M.1984.Theefectofinterestratechangesonthecommon stockreturnsoffinancialinstitutions[j].thejournalof Finance,39(4): Alam M M,Uddin M G S.2009.Relationshipbetweeninterestratesandstock prices: Empirical evidence from developed and developing countries[j]. InternationalJournalof Businesand Management,4(3): MeyerR,YuJ.2000.BUGSforaBayesiananalysisofstochasticvolatilitymodels [J].The EconometricsJournal,3(2):

18 148 NtzoufraI.2009.Bayesianmodelingusing WinBUGS[M].Athens:John Wiley & Sons. TaylorSJ.1994.Modelingstochasticvolatility:Areviewandcomparativestudy [J].MathematicalFinance,4(2): YuJ.2002.ForecastingvolatilityintheNew Zealandstock market[j].applied FinancialEconomics,12(3): YuJ,MeyerR.2006.Multivariatestochasticvolatilitymodels:Bayesianestimation andmodelcomparison[j].econometric Reviews,25(2): DoesSHIBOR HaveAnyEffectonDomestic StockIndexFuturesMarket BasedonCorrelationbetweenSHIBORandStockIndexFutures HuanyuZhou,KaiguoZhou (Lingnan Colege,Sun Yat-sen University) Abstract StockIndexFuturesarefavourableapproachesforinvestorstoearn profitsandhedgeagainstrisks.however,makingareasonableinvestmentdecision needssoundjudgmentaboutthemarketenvironment.shibor,whichisatypeof marketableinterestratethatcanreflectthelevelofmarketrisk-freeinterestrateand thedegreeoftightnessoffundsface.sohowdoesitinfluencedomesticstockindex Futuresmarket WithempiricalstudiesoncorrelationbetweenSHIBORandStock IndexFutures,weusedailydatafrom April2010toJuly2013,andfindout:Stock IndexFuturestendtohaveanegativecorrelation withshibor,andtheyhavea two-wayasymmetricpositivevolatilityspiloverefect,in whichshibortakesa greaterrole.stock Index Futures market goesshort obviously when SHIBOR increasessharpwhilethemarketgoeslongevidentlywhenshibordecreasessharp. Afterdecomposing SHIBOR into expected and unexpected parts, wefind that SHIBORinfluencestheStockIndexFuturesmarketbyshort-termtightnessoffunds faceandtrans-marketcapitalflowinsteadofchangeofdiscountrate.shibor s trendandfluctuationlevelhavebecomeimportantreferencefactorsconsideredby domesticstockindexfuturesmarketparticipants. JELClasification E44,G10

第 3 卷第 1 期周寰宇, 周开国 :SHIBOR 对我国股指期货市场有影响吗? 213 SHIBOR, 随着稳定性与公开市场业务的关联性等的逐渐增强, 其降低说明市场流动性趋于宽松, 而上升则反映了流动性的收紧较为明显的例子是 2013 年 6 月我国银行间资金面出现的严重紧缩 ( 或称钱

第 3 卷第 1 期周寰宇, 周开国 :SHIBOR 对我国股指期货市场有影响吗? 213 SHIBOR, 随着稳定性与公开市场业务的关联性等的逐渐增强, 其降低说明市场流动性趋于宽松, 而上升则反映了流动性的收紧较为明显的例子是 2013 年 6 月我国银行间资金面出现的严重紧缩 ( 或称钱 2016-03-25 16:16:16 第 http://www.cnki.net/kcms/detail/10.1175.f.20160325.1616.006. 3 卷第 1 期经济学报 Vol.3,No.1:00-00 2016 年 3 月 ChinaJournalofEconomics March2016 SHIBOR 对我国股指期货市场有影响吗? 1 基于股指期货和 SHIBOR 关联性的视角