宏观经济对国债利率期限结构的影响研究
发布时间：2019-03-08 19:07
【摘要】：文章用隐因子模型和无套利简约宏观金融模型分别对中国国债收益率曲线进行拟合和预测,发现将宏观因子加入利率期限模型后,国债收益率曲线的长端拟合和预测效果均有提升。经脉冲响应和方差分解分析后发现,CPI增长率主要通过影响短期收益率来影响收益率曲线,而工业增加值增长率主要通过影响长期收益率来影响收益率曲线。此外,简约宏观金融模型可以形成对宏观经济的预测,尤其是对工业增加值增长率的预测较为准确。
[Abstract]:In this paper, the implicit factor model and the non-arbitrage simplified macro-finance model are used to fit and predict the yield curve of Chinese national debt, and it is found that the macro-factor is added to the interest rate maturity model. The long-term fitting and forecasting effect of bond yield curve are improved. After impulse response and variance decomposition, it is found that the growth rate of CPI mainly affects the yield curve by influencing the short-term rate of return, while the growth rate of industrial value added affects the rate of return curve mainly by affecting the long-term rate of return. In addition, the simplified macro-financial model can be used to predict the macro-economy, especially the growth rate of industrial value-added.
【作者单位】： 上海财经大学经济学院;
【分类号】：F124;F812.5
本文编号：2437115
[Abstract]:In this paper, the implicit factor model and the non-arbitrage simplified macro-finance model are used to fit and predict the yield curve of Chinese national debt, and it is found that the macro-factor is added to the interest rate maturity model. The long-term fitting and forecasting effect of bond yield curve are improved. After impulse response and variance decomposition, it is found that the growth rate of CPI mainly affects the yield curve by influencing the short-term rate of return, while the growth rate of industrial value added affects the rate of return curve mainly by affecting the long-term rate of return. In addition, the simplified macro-financial model can be used to predict the macro-economy, especially the growth rate of industrial value-added.
【作者单位】： 上海财经大学经济学院;
【分类号】：F124;F812.5
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