中国真实利率的平稳性和区制性:基于马尔科夫区制转换模型

Abstract

通过引入三种均值方差都可能不同的区制,并基于改进的马尔科夫区制转换模型对1989年2月至2010年4月中国真实利率演变的考察,结果表明不同阶段的真实利率的确存在不同的均值和方差;考虑到区制转换特征之后,真实利率大体平稳,有均值回复趋势。而以往的应用中,忽略了这种区制转换特征可能导致对真实利率预测值的系统性偏差。By introducing three regimes possibly with different means and variances and based on the improved Markov-regime-switching model, this paper conducts an investigation on the evolution of China’s real interest rates from February 1989 to April 2010. The results indicate that there do exist different means and variances of the real interest rate at different stages. Considering the characteristics of regimes switching, the real interest rates is generally stable, with mean-reversion tendency. While in the past applications, the ignorance of these characteristics may lead to systematic deviation of the predicted values of the real interest rates.