交易者异质性、利率非理性波动与央行利率走廊机制建设

Which one contributes to interest rates’ high volatility in China’s interbank market? Money crunch or market panic? Has interest rate corridor eased market panic and stabilized interest rate? These important questions need to be explored theoretically and empirically. Based on the assumption in behavioral finance, including trader heterogeneity, noise trading, bounded rationality, this research project firstly classifies traders into two categories: bounded rational noise traders and fully rational informed traders, and then illustrates how market panic leads to interest rates’ overreact by analyzing noise traders’ market ratio and interest rate volatility in various market equilibriums. After that this project will discuss an interesting question in the heterogeneity model: are central banks able to accomplish the interest rate stability without open market operation, just using the mechanism of interest rate corridor which would be recognized as a creditable commitment by market traders and contribute to bringing down noise traders market ratio. The desirable width of interest rate corridor will also be researched. And then this project plans to incorporate trader heterogeneity into traditional term structure model of interest rate and advocate a method to assess the level of irrational fluctuation of interest rate by means of Kalman filter technique, which will be applied in the further empirical study on interest rates’ irrational fluctuation in China’s interbank market. Finally, test is conducted on whether interest rate corridor mechanism built by central bank of China effectively curbs interest rate irrational fluctuation or not and some related advises will be advocated.

我国利率过度波动是因为钱荒，还是钱“慌”？央行利率走廊机制能否起到抑制钱“慌”的作用，这是亟需理论研究和实证检验的重要问题。本项目基于行为金融学的交易者异质性、噪音交易、有限理性假定，将交易者分为有限理性的噪音交易者和完全理性的信息可知者，研究不同市场均衡下噪音交易者行为、市场比例及利率波动特征，揭示利率过度波动的非理性因素。进而在模型中引入利率走廊机制，研究央行能否通过利率走廊机制建设，树立可信赖承诺，降低噪音交易者比例，从而无须流动性干预，也可实现利率稳定，并探讨利率走廊机制的合意宽度。接着，修正传统利率期限结构模型，引入交易者异质性假定，利用卡尔曼滤波预期更新技术，建立交易者异质性假定下的利率期限结构模型，提出测度利率非理性波动程度的实证框架。最后，实证测度我国货币市场利率的非理性波动程度，并分不同情形实证检验我国利率走廊机制是否有效抑制利率非理性波动，以此提出进一步改进措施和建议。

本项目提出基于噪音交易假定的利率非理性波动模型，研究发现市场存在“非理性波动”均衡，此时利率波动不仅来源于经济基本面的波动，同时还受到噪音交易者比例的影响。由于噪音交易者的存在，面对小幅经济冲击，利率也可能出现大幅波动，且噪音交易者比例越高，利率波动幅度越高，由此本项目从市场非理性的角度重新阐释了利率的“过度反应”异象。进而，本项目研究了不同利率走廊机制下的市场均衡及利率非理性波动情况，发现利率走廊机制是否建立关于利率稳定的可信承诺至关重要，如果没有建立，利率走廊机制不仅未起到抑制利率非理性波动的政策效应，反而会扩大利率非理性波动。接着，本项目建立基于交易者非理性假定的利率期限结构模型，提出利率非理性波动程度的测算思路，并依此测算出我国银行间市场质押式回购加权利率以及交易所回购加权利率的非理性波动程度。结果表明在同一个市场，利率的期限越长，相应的非理性波动程度越小。无论是均值，还是标准值，同一期限的交易所利率非理性波动程度高于银行间市场。最后，本项目基于我国回购市场的独特结构，采用双重差分方法(DID)实证检验我国利率走廊机制的政策效应，研究发现我国利率走廊机制显著扩大了利率非理性波动程度，因此应重新审视和完善我国利率走廊机制设计。