货币政策对利率期限结构的影响——基于动态Nelson-Siegel模型的实证分析

发布时间：2018-03-10 10:34

本文选题：利率期限结构　切入点：货币政策　出处：《当代财经》2011年03期 　论文类型：期刊论文

【摘要】：以中国人民银行发行的央票利率为货币政策变量,以动态Nelson-Siegel模型为基础构造动态因子模型,采用卡尔曼滤波估计利率期限结构因子,与货币政策变量一起建立误差修正模型,以此分析货币政策对利率期限结构的短期动态影响和长期均衡影响;同时基于中国银行间市场债券交易数据进行的实证分析表明:货币政策和利率期限结构之间的短期动态影响表现出非对称性,即债券市场对货币政策变化的反应较为迟缓,但货币政策对市场利率的变化反应敏锐。而长期均衡关系则表明,货币政策对银行间债券市场利率期限结构有显著影响,但银行间债券市场对央行的利率调控目标不敏感,不能形成明确预期。另一方面,货币政策对目标利率的市场引导效果十分敏感,银行间市场债券交易信息是央行制定货币政策的依据。
[Abstract]:Taking the central interest rate issued by the people's Bank of China as the monetary policy variable, the dynamic factor model is constructed on the basis of the dynamic Nelson-Siegel model, the term structure factor of interest rate is estimated by Kalman filter, and the error correction model is established together with the monetary policy variable. This paper analyzes the short-term dynamic and long-term equilibrium effects of monetary policy on the term structure of interest rate. At the same time, the empirical analysis based on the data of bond trading in China's interbank market shows that the short-term dynamic influence between monetary policy and interest rate term structure is asymmetric, that is, the bond market is slow to respond to the change of monetary policy. However, monetary policy is sensitive to changes in market interest rates, and the long-term equilibrium relationship shows that monetary policy has a significant impact on the term structure of interest rates in the interbank bond market, but the interbank bond market is not sensitive to the central bank's interest rate control objectives. On the other hand, the monetary policy is very sensitive to the market guidance effect of the target interest rate, and the information of bond trading in the interbank market is the basis for the central bank to formulate monetary policy.
【作者单位】：上海财经大学经济学院;
【分类号】：F822;F224

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