会议论文

Li, Xuchao

英文

2014 SEVENTH INTERNATIONAL JOINT CONFERENCE ON COMPUTATIONAL SCIENCES AND OPTIMIZATION (CSO)

2158-799X

2014

440-444

7th International Joint Conference on Computational Sciences and Optimization (CSO)

International Joint Conference on Computational Sciences and Optimization

JUL 04-06, 2014

Beijing, PEOPLES R CHINA

[Li, Xuchao] Zhejiang Univ, Sch Econ, Hangzhou 310003, Zhejiang, Peoples R China.^[Zheng, Chengli] Cent China Normal Univ, Sch Econ, Wuhan 430079, Hubei Province, Peoples R China.

Natl Nat Sci Fdn China, Beijing Univ Chem Technol, Acad Math & Syst Sci, Chinese Acad Sci, Shaanxi Normal Univ, IntBusiness Sch, Sch Econ & Management, Harbin Engn Univ, Sch Automat, Beijing Univ Chem Technol, Centre Energy Chem Management, Chinese Acad Sci, Ctr Forecasting Sci, Chinese Acad Sci, Key Lab Management Decis & Informat Syst, Beijing Zhongke Markway Educ Technol Ctr, Syst Engn Soc China, Decis Sci Soc China, Beijing Operat Res Soc, Int Inst Decis Sci, Operat Res Soc China, Tech Comm Decis Sci, Chinese Soc Management Modernizat, Tech Comm Management & Decis Sci, Syst Engn Soc China, Tech Comm Financial Syst Engn, Chinese Soc Optimizat Overall Planning & Econ Math, Youth Branch, Chinese Soc Management Modernizat, Tech Comm Business Intelligence, Syst Engn Soc China, Youth Branch

Yu, L Zhu, Q Chai, J Wang, S

345 E 47TH ST, NEW YORK, NY 10017 USA

IEEE

978-1-4799-5372-1

10.1109/CSO.2014.90

本校为其他机构

On the foundation of valid risk measurement based on AR(2)-TARCH(1,1)-EVT, this paper builds cointegration and error correction models to analyse how risks of Shibor are dynamically impacted in short and long term by changes of central bank benchmark rate, and to what degree the latter can influence the former. Empirical results show that a long-term positive equilibrium exists between risks of Shibor and benchmark lending rate; in the short term, benchmark lending rate hikes increase risks, and about 17% of the deviation from equilibrium is eliminated in next period, but...