Page 75 - Contributed Paper Session (CPS) - Volume 5

CPS1053 DU zhixiu
standard for selecting reference rates, countries generally choose nationally
appropriate reference rates based on their economic situation and availability
of data.
In terms of empirical research by scholars, Antonio Colangelo (2012)
believes that the reference rate should take the risk characteristics of deposits
and loans into account, under which the EU's GDP will decline. There is more
literature on risk premium and interest rate term risk studies. Typical models
include Breeden et al. (1978) and Breeden (1979), the consumer capital asset
pricing model (CCAPM), which takes consumption factors into account. Look
at the risk premium of a risky asset. The CIR model proposed by Cox-Ingersoll-
Ross (1985) is mainly used to examine the term risk of interest rates.
Xuxianchun (2002) studied the 1993 SNA methodology for FISIM, which was
distributed to depositors as intermediate inputs and as final use, which is
mainly for final consumption or imports and exports of the household sector.
Duzhixiu (2017) analyzed the FISIM aggregate accounting and sectoral
allocation based on the reference rate, its impact on GDP and income
distribution were further studied in theory. The Chinese System of National
Economic Accounts 2016 proposed to use the reference rate method to
account for the total output of FISIM and share it among departments.
With reference to previous experience, this paper studies the selection and
determination of the reference rate in FISIM output accounting. Combining
with China's actual situation, we constructed three reference rates, then
compared these with two traditional reference rates based on Chinese actual
data.
B. Construction of reference rate considering risk and liquidity premium
We construct CIR-CCAPM and CIR-CCAPM-D rate by combing the CCAPM
model, which considering consumption factors, with the CIR model of the
interest rate maturity structure as mentioned earlier. The expected revenue-
pricing model of CCAPM is as follows:

−
Where m = β(+1⁄) ，∆c = ln(⁡+1⁄).β is reflecting the patience of

investors, γ risk aversion coefficient. = () − is risk premium for assets.
As of the parameters’ estimation in equation (1) is used generalized
method of moment estimation (GMM). The principle of GMM is as follows:

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