Construction Of Bayes-MS-GARCH-VAR Model Of Benchmark Intrerst Rate And Financial Return Rate And Research On Linkage Effect

Shanghai Interbank Offered Rate(Shibor),as the benchmark interest rate in the money market,Its fluctuations reflect the development direction of monetary policy regulation and control,and have an important impact on other financial institutions and product pricing.In this paper,overnight Shibor interest rate,Internet wealth management return rate and bank wealth management return rate are selected as the research objects to explore their fluctuation characteristics and linkage effect.The main work of this paper is divided into three parts:The first part is the basic analysis of the linkage mechanism between Shibor as the benchmark interest rate and wealth management yield.This paper theoretically analyzes the basic characteristics of the benchmark interest rate,the effectiveness of Shibor interest rate as the benchmark interest rate,and the basic linkage mechanism between the benchmark interest rate and the financial management yield rate,which provides a certain theoretical basis for the construction of the following model.The second part is the construction of the Bayes-MS-GARCH model of the benchmark interest rate and the financial return rate and the research on the fluctuation.Three time series of Shibor interest rate,Internet wealth management return rate and bank wealth management return rate were selected as the research objects.Arch effect and Chow mutation test were conducted respectively,and heteroscedasticity and structural transformation were found in all three series.The Markov structural transformation was embedded into GARCH model for improvement,and the MH algorithm in Bayesian statistics was used to solve the model.Three Bayes-MS-GARCH models were established respectively,and the prediction test was carried out by RMSE and Theil IC inequality coefficients.It is found that the three models can well reflect the structural transformation and fluctuation persistence level of the benchmark interest rate and financial management return rate.According to the size of unconditional variance,the volatility state is divided into low volatility,medium volatility and high volatility.The Shibor interest rate series is in high volatility state for a long time,while the bank wealth management return rate and Internet wealth management return rate are dominated by medium and low volatility.In the three states,the benchmark interest rate and the wealth management return rate all have strong fluctuation persistence and show a certain dynamic connection,which provides a model basis for further exploring the linkage effect between the benchmark interest rate and the wealth management return rate in the third part.The third part is the construction of the Bayes-MS-GARCH-VAR model of the benchmark interest rate and the financial return rate and the study of the linkage effect.Since there is a certain dynamic correlation between the benchmark interest rate and the financial management return rate under different fluctuation states,the cointegration test and Granger causality test are carried out on the three sets of square difference sequences generated by the Bayes-MS-GARCH model respectively,and the Bayes-MS-GARCH-VAR model is established by the order determination and parameter estimation of the model.Through impulse response analysis and variance decomposition,the linkage effect of benchmark interest rate and financial management return rate is analyzed.The prediction test is carried out by using Theil IC inequality coefficient and Bayesian method to verify the reliability of the model.The results show that the Bayes-MS-GARCH-VAR model can well reflect the linkage effect between the benchmark interest rate and the two types of wealth management returns.Shibor interest rate,Internet wealth management returns and bank wealth management returns are greatly affected by self-disturbance,and the influence effect of bank wealth management returns is more lasting.The influence of the disturbance of Internet wealth management yield rate on Shibor rate reaches 32.9%,and the influence on bank wealth management yield rate only accounts for 0.93%.The disturbance of Shibor interest rate has an impact of 6.7% on banks' wealth management return rate,and only 1.4% on Internet wealth management return rate.Based on the above research conclusions,this paper also puts forward some suggestions for investors,financial issuers and regulatory authorities.