银行间国债市场利率期限结构及其影响因素研究

发布时间：2018-05-17 16:36

本文选题：利率期限结构 + 状态空间模型　；参考：《复旦大学》2012年硕士论文

【摘要】：利率是经济金融领域的核心变量,实质是资金价格,反映市场上资金的供求关系。市场化的利率是完善的社会主义市场经济体制的必要条件,是加强我国金融间接调控的关键,更是金融机构提高竞争力,加强自主经营机制的重要条件之一。我国利率市场化稳步推进的首要条件是国债市场上利率期限结构的构建,利率曲线是各种金融衍生工具的定价基准,它的变化反应了市场对未来利率变化的预期。在我国积极推进利率市场化改革的同时,研究我国债券市场的利率期限结构,有助于把握我国利率期限结构的特征,而着眼于宏观经济因素对不同债券市场上利率期限结构的影响差异,更为两市融合,提高债券市场效率打下了坚实基础。本文系统的回顾了利率期限结构理论与实证的相关文献,甄别适合我国债券市场的模型,选择了基于Nelson-Siegel模型的状态空间模型为拟合我国国债银行间市场利率期限结构的最优模型。利用卡尔曼滤波方法估计出代表整个利率曲线的三个因子序列：水平因子、斜率因子及曲率因子。拟合结果显示,Nelson-Siegel模型的拟合效果较好,适用于我国国债利率期限结构的拟合,且三因子能够较好的反应整个利率曲线的特征。本文进一步讨论了利率期限结构三因子与宏观因素的相关关系。我们将众多的宏观经济变量划分为三类：实体经济水平、货币政策及价格水平,并通过主成分分析法提取各类别变量的第一主成分序列,建立结构向量自回归(SVAR)模型,将利率期限结构三个潜在因子引入模型,利用脉冲响应函数与方差分解技术考察宏观经济冲击对利率期限结构的影响。得到如下结论：(1)利率期限结构的水平因子对宏观因素的响应较为强烈,斜率因子和曲率因子则明显较弱。宏观因素对水平因子方差的贡献率较高,而对斜率因子和曲率因子方差的贡献率约维持在20-30%左右。(2)价格水平因素对水平因子有着显著而持久的影响,是导致长期利率水平变化的最主要因素,且对水平因子方差的贡献率最高,实证结果基本与理论一致。(3)扩张的货币政策会引起长短期利差的扩大,但存在约2期的滞后。实体经济水平对斜率因子方差贡献率较大,价格水平对斜率因子的影响较弱。(4)实体经济的增长、扩张的货币政策以及通货膨胀都会增加利率曲线的曲率,但各因素引起的响应幅度相差不大,曲率因子对宏观因素的变化并不敏感。结合现有研究,本文给出了相关的政策建议。
[Abstract]:Interest rate is the core variable in the field of economy and finance. In essence, it is the price of funds, which reflects the relationship between supply and demand of funds in the market. The market-oriented interest rate is the necessary condition of the perfect socialist market economy system, the key to strengthen the indirect regulation and control of our country's finance, and one of the important conditions for the financial institutions to improve their competitiveness and strengthen the self-management mechanism. The construction of term structure of interest rate in the national debt market is the primary condition for the steady progress of interest rate marketization in China. The interest rate curve is the pricing benchmark of various financial derivatives, and its change reflects the market's expectation of the future interest rate change. While China is actively promoting the reform of interest rate marketization, studying the term structure of interest rate in China's bond market is helpful to grasp the characteristics of the term structure of interest rate in China. Focusing on the influence of macroeconomic factors on the term structure of interest rates in different bond markets, the integration of the two markets has laid a solid foundation for improving the efficiency of the bond market. This paper systematically reviews the relevant literature on the theory and demonstration of term structure of interest rate, and discriminates the model suitable for China's bond market. The state space model based on Nelson-Siegel model is selected as the optimal model to fit the term structure of the inter-bank interest rate in China's treasury bond market. Three series of factors representing the whole interest rate curve are estimated by Kalman filter: horizontal factor, slope factor and curvature factor. The fitting results show that the Nelson-Siegel model is suitable for the fitting of the term structure of national debt interest rate, and the three factors can well reflect the characteristics of the whole interest rate curve. This paper further discusses the relationship between three factors of term structure of interest rate and macro factors. We divide many macroeconomic variables into three categories: real economy level, monetary policy and price level, and extract the first principal component sequence of each kind of variables by principal component analysis, and establish structural vector autoregressive SVAR-model. Three potential factors of term structure of interest rate are introduced into the model, and the impact of macroeconomic shock on term structure of interest rate is investigated by using impulse response function and variance decomposition technique. The conclusion is as follows: (1) the level factor of the term structure of interest rate has a strong response to the macro factor, while the slope factor and the curvature factor are obviously weak. The contribution rate of macro factor to horizontal factor variance is higher, while the contribution rate to slope factor and curvature factor variance is about 20-30%.) Price level factor has significant and lasting influence on horizontal factor. It is the most important factor that leads to the change of the level of long-term interest rate, and the contribution rate to the variance of the level factor is the highest. The monetary policy, which is basically consistent with the theory, will cause the spread of interest rate in the long and short term, but there is a lag of about two periods. The effect of price level on slope factor is weak. The growth of real economy, the expansion of monetary policy and inflation will increase the curvature of interest rate curve. However, the response amplitude caused by each factor is not different, and the curvature factor is not sensitive to the change of macro factor. Combined with the existing research, this paper gives the relevant policy recommendations.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F822.0;F224

【参考文献】