国债价格影响因素的理论与实证研究

发布时间：2018-03-16 23:11

本文选题：国债到期收益率　切入点：面板数据　出处：《南开大学》2013年博士论文　论文类型：学位论文

【摘要】：从2008年的金融海啸到2011年的欧债危机,再到目前的后QE时代,均可看出国债在金融市场,乃至于整个全球经济都扮演着一个非常重要的角色。它不仅是反映了一个国家的宏观经济条件,也反映了一个国家的财政状况,国债价格(到期收益率)更是众多金融商品的评价基础。另外,金融海啸后,各国纷纷透过宽松货币政策引导中长天期国债到期收益率下滑,间接刺激民间消费,降低政府支出与民间企业借贷成本,使得经济逐渐复苏,有此可见,国债与国债市场的重要性。而面对如此重要的金融商品与市场,我们应该对它进行更深刻的研究与分析。本文目的在于探讨宏观经济指标与国债到期收益率间的因果关系,应用时间序列数据进行面板数据回归模型实证分析,找出影响国债到期收益率波动的因素,并进一步探讨在浮动汇率体制及在管理浮动汇率体制下,大小开放经济体汇率对债券到期收益率的影响。本研究以十年期国债到期收益率(BYR)为因变量,汇率(EXR)、股价指数(Stock)、央行基准利率(CBR)、原油期货价格(OP)、 GDP同比(gGDP)、CPI同比(gCPI)为自变量,对从2001年1月至2012年6月期间内共计1380个月度资料进行了研究和分析。实证结果发现,在计量检验所建议采取的随机效应模型下,对于大型开放经济体,汇率对国债到期收益率的影响显着为正向,而对于小型开放经济体,汇率对国债到期收益率的影响方向则显着为负向。不管是发生金融海啸还是欧债风暴前后,无论大小经济体,其10年期国债到期收益率与央行基准利率和物价年增长率的关系都是正向且显着的；与西德州原油期货的关系则是负向且显着的。本文创新之处在于以往的学术研究或金融实务上,在探讨宏观经济指标与国债价格(利率)关系时,并未就经济体规模大小所产生的影响,进行研究分析,本文在探讨国债价格与宏观经济指标关系时,将经济体规模纳入考量。尤其是在探讨汇率与国债到期收益率关系时,直观上,对于两者的关系判断,皆为正向,但本文利用面板数据模型,并将经济体规模纳入考量之后,所得出来的结果与直观判断上不同,例如,小型经济体的汇率与国债利率之间的关系即为负向。
[Abstract]:From 2008 to 2011, the financial tsunami of the debt crisis, and then to the post QE era, can be seen that the bonds in the financial market, even the whole global economy plays a very important role. It is not only reflects a country's macroeconomic conditions, but also reflects a country's financial situation and bond prices (yields) is the basis for evaluation of many financial products. In addition, after the financial tsunami, many countries through the loose monetary policy to guide the long day Treasury yield to maturity decline, indirectly stimulate private consumption, reduce government spending and private sector borrowing costs, the economy gradually recovers, the importance of the national debt and national debt market. In the face of financial products and the market is so important, we should carry out research and analysis deeply on it.
The purpose of this paper is to investigate the macroeconomic indicators and the Treasury bonds yield the causal relationship between the application of time series data and panel data regression model empirical analysis, to find out the factors affecting the volatility of treasury bonds, and to further explore in the floating exchange rate system and the floating exchange rate system in the science under the control of the size of open economies due to exchange rate affect the rate of return for bonds. In this study, the ten - year Treasury yield to maturity (BYR) as the dependent variable, exchange rate, stock price index (EXR) (Stock), the central bank's benchmark interest rate (CBR), crude oil futures prices (OP), an GDP (gGDP), CPI (gCPI) is an independent variable, for the period from January 2001 to June 2012 a total of 1380 monthly data were studied and analyzed.
The empirical results show that the measurement test suggested by the random effect model adopted, for large open economies, the exchange rate impact of the bond yield to maturity was significantly positive, while for a small open economy, the exchange rate impact on the bond yield to maturity in the direction of significant negative. Both before and after the financial tsunami or the European debt crisis, regardless of the size of the economy, the 10 - year treasury bonds between the growth rate of return rate and the benchmark interest rate and the price of the year is a positive and significant relationship with the West; Dezhou crude oil futures is negative and significant.
The innovation of this paper lies in the previous academic research or financial practice, in the discussion of macroeconomic indicators and the bond price (interest rate) does not affect relations, size economies generated by research and analysis, this paper discusses the bond price and the macroeconomic index system, the economies of scale into consideration especially. In the discussion of exchange rate and debt relationship directly yield to maturity, and for the relationship between the two judgments are positive, but the panel data model used in this article, and the economies of scale into consideration, the result of the judgment and intuition are different, for example, the relationship between the exchange rate and interest rate of the small economies is negative.

【学位授予单位】：南开大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F812.5;F832.51

【参考文献】