【摘要】：金融體制與市場化的改革對我國金融深化意義重大,其中利率市場化尤為重點(diǎn)。在市場化過程中,利率風(fēng)險(xiǎn)價(jià)值的衡量與測度是核心環(huán)節(jié)。在我國民間金融當(dāng)中,溫州民間金融是典型的代表。因此,本文選取溫州民間融資綜合利率指數(shù)作為分析對象,研究了各個(gè)期限利率波動(dòng)的情況,使用類似鞅差分的單位根檢驗(yàn)方法來估計(jì)利率序列的市場有效性,并在此基礎(chǔ)上進(jìn)行了風(fēng)險(xiǎn)測算,并計(jì)算出了溫州民間金融利率的Va R(風(fēng)險(xiǎn)價(jià)值)。研究表明,溫州民間融資綜合利率指數(shù)公布機(jī)制雖然建設(shè)時(shí)間不長,但是已具備一定的市場有效性。
[Abstract]:The reform of financial system and marketization is of great significance to China's financial deepening, among which interest rate marketization is especially important. In the process of marketization, the measurement and measurement of interest rate risk value is the core link. In our country folk finance, Wenzhou folk finance is a typical representative. Therefore, this paper selects Wenzhou folk financing comprehensive interest rate index as the analysis object, studies the fluctuation of interest rate of each term, uses the unit root test method similar to martingale difference to estimate the market validity of interest rate sequence. On the basis of this, the paper calculates the Va R (risk value of Wenzhou private financial interest rate. The study shows that Wenzhou private financing comprehensive interest rate index publishing mechanism is not long construction, but has a certain market effectiveness.
【作者單位】： 暨南大學(xué)經(jīng)濟(jì)學(xué)院;
【分類號(hào)】：F832.5;F224

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