利率期限结构的宏观-金融模型

发布时间：2018-12-07 16:19

【摘要】：传统利率期限模型不引入宏观经济变量,利率在宏观经济中的重要性和期限结构信息对宏观经济的预测功能,促使人们将利率期限结构模型和宏观经济模型相结合形成宏观-金融模型,研究期限结构和宏观经济变量的相互影响。本文介绍宏观-金融模型产生背景和建模技术路线,对现有模型进行分类和评述,在总结已有研究成果的基础上,提出了宏观-金融模型存在的问题和未来发展方向。
[Abstract]:The traditional term model of interest rate does not introduce macroeconomic variables, the importance of interest rate in macroeconomic and the forecasting function of term structure information to macroeconomic. It urges people to combine the term structure model of interest rate and the macroeconomic model to form a macro-financial model to study the interaction between term structure and macroeconomic variables. This paper introduces the background of macro-financial model and the technical route of modeling, classifies and comments the existing models. On the basis of summarizing the existing research results, the paper puts forward the problems existing in the macro-financial model and its future development direction.
【作者单位】：上海财经大学经济学院;南京财经大学金融学院;
【基金】：上海财经大学“211工程”三期重点学科建设项目,上海财经大学现代金融研究中心资助
【分类号】：F822;F224

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