汇率制度改革、货币政策与国债利率期限结构

发布时间：2018-12-11 17:21

【摘要】：本文采用上交所国债交易数据对Nelson-Siegel模型参数进行估计,得到国债利率期限结构的水平因子和倾斜度时间序列。在此基础上,运用马尔科夫区制转换向量自回归模型,分别对人民币对美元汇率、银行间隔夜拆借平均利率、国债利率期限结构的水平因子和倾斜度四个时间序列进行了单变量和多变量的区制转换检验,并对国债利率期限结构的水平因子和倾斜度对人民币汇率变化冲击的动态响应进行了脉冲响应分析。结果表明,国债利率期限结构的水平因子和倾斜度在汇率制度改革前后均发生了显著的结构性变化,汇率制度改革以及相应的货币政策变化共同解释了国债利率期限结构水平因子和倾斜度的变化。
[Abstract]:In this paper, the parameters of Nelson-Siegel model are estimated by using the trading data of treasury bonds on the Shanghai Stock Exchange, and the horizontal factor and slope time series of the term structure of interest rate of bonds are obtained. On this basis, using the Markov region system transformation vector autoregressive model, the exchange rate of RMB to the US dollar, the average inter-bank interest rate, Four time series of horizontal factor and inclination of term structure of interest rate of national debt are tested by univariate and multivariable district system conversion test. The dynamic response of the horizontal factor and the inclination of the term structure of treasury bonds to the impact of RMB exchange rate change is analyzed. The results show that the horizontal factors and the inclination of the term structure of the interest rate of national debt have undergone significant structural changes before and after the reform of the exchange rate regime. The reform of exchange rate system and the corresponding changes of monetary policy explain the change of the level factor and inclination of the term structure of government bond interest rate.
【作者单位】：武汉大学经济发展研究中心;武汉大学经济与管理学院;中国人民银行武汉分行;
【基金】：2010年度教育部人文社会科学重点研究基地重大项目“逆周期宏观调控政策与中国经济平衡增长研究”(课题批准号:10JJD790003) 武汉大学自主科研项目(人文社会科学);武汉大学国家“985”创新基地项目子课题的阶段性成果 “中央高校基本科研业务费专项资金”资助
【分类号】：F832.6;F822.0;F812.5;F224

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