市场利率动态变化中的“跳跃”现象研究

Recently,some empirical results based on the bond markets found that there are "jumps" in the interest rates dynamics. The results have been received attention by the academic researchers and financial industries. The phenomenon of "jumps" would challenge the interest rate theory; interest rate products valuation; allocation and risk management based on the assumption of continuous dynamics. "jumps" could be caused by the abrupt changes of the economic evironment or the market mechanism. The arrival time and intensity of the "jumps" reflect the speed of the information transmission and the extent of the uncompletness of the market. The modeling and pediction of the "jumps" would be meaningful for the research on the rules of the interest rate dynamics; interest rate products investment and monetary policies. The research investigate the problem of identifying the phenomenon of "jumps" based on the high frquency noisy observations, exploite the mechanism of "jumps" from the prespective of economics, and propose a stochastic interest rate model with stochastic jumps,and investigate the impact of stochastic jumps to the valuation of bonds and interest rates derivatives. The research of the project can develop the econometric techniques based on the high frequency data, develop the interest rate theory, and can be applied to the valuation of the interest rate products and interest rate risk management.

近年来，一些基于债券市场的实证研究发现市场利率的动态变化中存在非连续性或"跳跃"现象，这一发现受到了金融界学者和业界的关注。"跳跃"现象的发现使得建立在完全连续型利率动态变化假定基础上的利率理论、利率产品定价、利率产品配置策略和利率风险管理技术受到挑战。"跳跃"可能与金融市场环境突变或市场机制有关，其发生的时间及其强度大小反映了市场对于信息的传导速度和市场的不完备程度。 对"跳跃"进行建模和预测可以为市场利率动态变化的规律研究、利率产品投资决策、货币政策咨询等提供有益的参考。本课题研究带市场噪音的高频数据中跳跃现象的检测、识别问题。从经济学角度剖析"跳跃"现象产生的机理，对跳跃的动态机制进行建模，建立带有随机跳跃的利率模型，分析随机跳跃对于债券定价和利率衍生产品定价的影响。本课题的研究可以开发基于高频数据的计量检验技术，发展利率理论，并应用于利率产品定价和利率风险管理。

市场利率动态变化中的“跳跃”现象对于利率建模、利率风险的度量和管理、利率衍生产品定价、资产配置以及市场监管和货币政策都有非常重要的意义。.. 本课题以“跳跃”现象为切入点对市场利率的动态变化进行研究。主要研究内容为：1，“跳跃”的识别和检验，以及带有“跳跃”的利率模型的参数估计，这是本课题的技术重点。2，中国市场利率的建模以及检验，这是本课题具有现实意义的部分。3，在有“跳跃”存在下的资产配置问题研究，这是本课题的拓展部分。.. 本课题较为顺利地完成了预定的研究内容，已发表一篇论文在金融学重要期刊“Journal of Banking and Finance”, 另有2篇工作论文已经完成，即将投稿。培养博士生2名，硕士生2名。