中国国债利率期限结构的风险特征及其内含信息研究

发布时间：2018-06-11 10:18

本文选题：利率期限结构 + 风险特征　；参考：《世界经济》2010年07期

【摘要】：本文采用Diebold-Li方法估计中国国债的利率期限结构,并在此基础上,通过与美国利率期限结构进行对比分析,发现中国国债利率期限结构的变动显著不同于美国国债利率期限结构的变动,主要表现为即期利率曲线变动不连续、中长期利率水平移动、长期利率波动大以及利率分布具有右偏等特征。其他主要发现有:长期利率和长短期利差是决定利率期限结构变化的两个最主要因素,而中期利率因素对利率风险管理的影响作用相对较小;长期利率、长短期利差和中期利率服从一阶分布滞后过程;长期利率超前于CPI序列变动3个月,而长短期利差同经济景气指数序列一致变动,两者可以作为预测和判断宏观经济走势的有效指标。
[Abstract]:In this paper, Diebold-Li method is used to estimate the term structure of interest rate in China's treasury bonds, and on this basis, a comparative analysis is made between the term structure of interest rates in China and the term structure of interest rates in the United States. It is found that the change of term structure of interest rate of Chinese treasury bonds is obviously different from the change of term structure of interest rate of U. S. Treasury bonds, mainly manifested by discontinuous change of spot interest rate curve and movement of medium and long-term interest rate level. The long-term interest rate fluctuates greatly and the distribution of interest rate has the characteristics of right deviation. Other main findings are: long term interest rate and short and long term interest rate difference are the two most important factors to determine the change of interest rate term structure, while the medium term interest rate factor has relatively little effect on interest rate risk management; long term interest rate, The long and short term interest rate difference and the medium term interest rate service lag behind from the first order, the long term interest rate is three months ahead of the CPI series, and the long and short term interest rate difference is consistent with the economic boom index series. Both can be used to predict and judge the macroeconomic trend of effective indicators.
【作者单位】：东北财经大学应用金融研究中心;
【基金】：教育部人文社会科学重点研究基地重大项目(2009JJD790004) 辽宁省教育厅高等学校创新团队研究项目(2007T041)的资助
【分类号】：F224;F832.51

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