In view of policy impacts, big volatility and possible structural changes in Chinese short rate, this paper proposes a jump-diffusion-regime switching model, and then uses it to study volatility, jump and regime switch effects in Chinese 7-day interbank offered rates, we find there exists not only mean-reversion but also jump and regime switch effects in the rate . The model is much better than any other nested models that only consider two effects. We also find the level effects and ARCH effects in volatility are negligible in high-volatility regime, and the level effects can be omitted in low-volatility regime. Additionally, the jump exhibits clustering effects. High( low)-jump probability and high (low) regime probability are matched with high (low) interest rate and high(low) volatility Jump almost occurs in high regime probability.%针对我国短期利率易受政策影响,波动较大并存在结构变化等特点,构建了跳跃-扩散-机制转换模型,同时考察了银行间7天同业拆借利率的波动、跳跃和结构变化三种效应,发现我国同业拆借利率不仅具有均值回归特性而且还存在明显的跳跃与机制转换,并且该模型比其嵌套的受限模型表现更佳.在高波动状态下利率波动的水平效应和ARCH效应可以忽略;低波动状态下,水平效应可以忽略.另外,跳跃具有聚类效应,高(低)的跳跃概率和高(低)状态概率对应着高(低)利率和较高(低)的波动率,跳跃主要发生在高状态机制下,低状态机制下发生跳跃的可能性很小.
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