国债利率期限结构静态拟合及应用研究

发布时间：2018-02-03 01:31

本文关键词： 利率期限结构货币政策宏观经济通货膨胀　出处：《西南财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：利率期限结构与宏观经济、货币政策的关系一直是金融学研究的重要领域,但是我国国债市场起步较晚,发展过程曲折,严重制约利率期限结构在货币政策实施与宏观经济观测方面的作用。近年来,我国国债市场快速发展,市场规模逐渐增大,且国债市场流通性逐渐增强与政府公开市场操作日益频繁,使国债利率期限结构与宏观经济、货币政策之间的关联性逐渐增强,此时对其研究具有十分重要的现实意义。在一些金融市场比较成熟的国家,利率期限结构是制定货币政策和宏观经济变动预测的重要工具。这些国家的利率都具有市场化特征,利率期限结构与经济增长及通货膨胀之间存在着稳定的关系,通过他们之间的关联性分析,利率期限结构可以作为领先指标,预测未来时期宏观经济变量的变动。央行在制定货币政策时,可以通过利率期限结构的变动趋势,判断未来宏观经济走势,进而将其作为辅助的先行指标,提高央行对宏观经济的预测能力,增强其货币政策制定的合理性。由于我国发行的大多是附息国债,利率期限结构不能用到期收益率表示,而需要采用合理的模型进行拟合估计。因此,本文主要围绕利率期限结构拟合估计和利率期限结构与宏观经济、货币政策的关系两个方面进行研究,具体内容分为五章。第一章是绪论。首先,介绍本文的选题背景和研究意义；其次,相关文献综述,分为利率期限结构模型拟合效果和利率期限结构在货币政策、宏观经济方面的应用两部分。第二章是利率期限结构及应用的理论基础。首先,介绍了利率期限结构的三种理论：市场预期理论、市场分割理论和流动性偏好理论。其次,介绍了利率期限结构和货币政策、宏观经济、通货膨胀关系的理论基础。为下文利率期限结构估计及应用分析奠定理论基础。第三章是利率期限结构模型拟合估计效果。本章采用样条法拟合国债利率期限结构,然后采用主成分分析方法,分析我国国债利率期限结构是否受系统性、非系统性因素的影响。最后对拟合出的利率期限结构时序数据、宏观经济景气指数与货币政策实施进行描述性分析,初步判断之间是否具有关联性。第四章是利率期限结构应用研究。本章主要从货币政策传导机制理论入手,实证出利率期限结构包含货币政策信息、经济波动信息和通货膨胀信息,说明国债利率期限结构的基准利率作用。第五章是相关的结论和政策建议。按照上述研究思路,本文得出的结论主要包括以下几个方面。 (1)选取2011年6月30日上海证券交易所的国债数据进行实证分析,得到了拟合价格与实际价格差距的均方误差、贴现率与利率期限结构曲线。通过均方误差分析,得出拟合价格与实际价格之间差距较小,即拟合价格比较精确反映了国债实际价格的结论；通过贴现率分析,贴现率表现出期限越短,贴现率越大的特征,表明贴现函数符合贴现的相关理论；拟合出的利率期限结构曲线向右上方倾斜,即期限越长,即期利率越大,这一特征也符合利率期限结构流动性理论。以上分析结果表明,样条法适合用来拟合我国国债利率期限结构。 (2)采用样条法拟合出2006年1月到2011年6月国债交易的每月最后一天的数据,并描述了这段时间我国国债市场利率期限结构的变化特征。将利率期限结构与央行政策实施、宏观经济波动的动态特征的比较,结果表明,利率期限结构波动较大的时期,央行货币政策操作较为频繁,宏观经济波动性也较大,从而可以初步判断国债利率期限结构与货币政策实施、宏观经济波动存在某种关联性。 (3)利率期限结构的主成分分析,主要是为验证我国利率期限结构是否满足三个主成分特征,文中采用6个月、1-7年、10年、15年与20年这11个主干利率来做主成分分析。结果表明,我国国债市场符合三个主成分特征,且第一个主成分受不同期限的影响一致,即表现出水平特征；第二个主成分短期国债的影响为正,长期国债的影响为负,即表现出向下倾斜特征；第三个主成分受不同期限影响表现出先减弱后又增强的曲度特征。以上分析结果表明,我国国债利率期限结构完全符合相关特征,即我国国债市场利率期限结构的确受一些系统性、非系统性因素的影响。 (4)首先,协整检验与误差修正模型表明,利率期限结构与货币供应量M2之间存在稳定的关系。其次,国债利率期限结构对货币供应量M2的脉冲响应也明显。最后,国债利率期限结构对货币供应量M2的方差贡献率维持在20%左右。以上分析结论表明,利率期限结构包含货币政策信息,能够发挥货币政策实施时的传导作用。 (5)首先,协整检验与误差修正模型表明,利率期限结构与宏观经济景气指数之间存在稳定的关系。其次,国债利率期限结构对宏观经济景气指数的脉冲响应明显,而宏观经济景气指数对利率期限结构的冲击效应弱一些。最后,利率期限结构对宏观经济景气指数的方差贡献度随着时期后推而逐渐增大,滞后六期的方差贡献率达到30%左右。以上分析结论表明,利率期限结构在对宏观经济的传导中具有有效性,因此利率期限结构可以作为观测宏观经济变动趋势一种辅助工具。 (6)首先,协整检验与误差修正模型表明,利率期限结构与反映需求引起的通货膨胀CPI之间存在稳定的关系。其次,国债利率期限结构对CPI的脉冲响应明显,而CPI对利率期限结构脉冲要弱一些。最后,利率期限结构对CPI的方差贡献度在逐渐增大,说明利率期限结构在对通货膨胀的传导中具有一定有效性；但是,方差贡献率在5%左右,说明利率期限结构在对通货膨胀的解释能力较弱。因此利率期限结构对通货膨胀的监测没有对宏观经济变动监测的效果好。虽然研究利率期限结构的相关文献较多,但是本文具有自己的研究特色,可以概述为以下几点。 (1)利率期限结构拟合估计模型的选择利率期限结构的拟合模型主要包括静态模型与动态模型,静态模型依据拟合价格与实际价格差距最小化原理,采用样条逼近的拟合方法,避免了动态模型的假定条件限制,在拟合利率期限结构方面具有优势。 (2)利率期限结构拟合曲线的动态特征分析采用描述性统计分析方法分别描述利率期限结构、宏观经济波动与央行货币政策实施的动态变动趋势,从而探索三者之间的关联性；并采用主成分分析法,研究不同剩余期限的即期利率变动的主成分特征。 (3)利率期限结构应用研究角度的选择利率期限结构与宏观经济、货币政策关系的研究,是近年来研究的热点,但大部分文献都在研究三者之间是否存在动态关联性,而对于传导机制方面研究甚少。本文以货币政策传导机制为依据,探索国债利率期限结构是否适合充当货币政策传导的基准利率,在传导中是否具有有效性。
[Abstract]:The relationship between interest rate term structure and macro - economy and monetary policy has always been an important area of financial research , but our country ' s national debt market is starting late , the development process is tortuous , and the structure of interest rate is severely restricted in the implementation of monetary policy and macro - economic observation . In recent years , our country ' s national debt market has developed rapidly , the market size has gradually increased , and the relationship between the maturity structure of government bonds and the macro - economy and monetary policy is gradually strengthened . At this time , it has very important practical significance to its research . In some countries with relatively mature financial markets , interest rate term structure is an important tool for formulating monetary policy and macro - economic change forecast . The interest rate of these countries has a stable relationship with economic growth and inflation . Through the correlation analysis between them , the structure of interest rate term can be used as the leading indicator to predict the fluctuation of macroeconomic variables in the future . Since most of our country ' s issues are attached treasury bonds , the interest rate term structure cannot be represented by the maturity yield , but the reasonable model can be used for fitting estimation . Therefore , this paper mainly studies the relationship between the interest rate term structure fitting estimation and the interest rate term structure and the macro - economy and monetary policy , and the specific contents are divided into five chapters . The first chapter is introduction . Firstly , the background and significance of the thesis are introduced . Secondly , the related literature review is divided into two parts : the interest rate term structure model fitting effect and the interest rate term structure in monetary policy and macro - economy . The second chapter introduces three theories of interest rate term structure : market expectation theory , market segmentation theory and liquidity preference theory . Secondly , it introduces the theory foundation of interest rate term structure and monetary policy , macro - economy and inflation relationship . The third chapter is the fitting estimation effect of the interest rate term structure model . This chapter adopts the spline method to fit the interest rate term structure , then uses the principal component analysis method to analyze whether the structure of the interest rate term structure is influenced by the systematic and non - systematic factors . The fourth chapter is the application research of interest rate term structure . This chapter starts with the theory of monetary policy transmission mechanism , and shows that the structure of interest rate term includes monetary policy information , economic fluctuation information and inflation information , and illustrates the benchmark interest rate function of interest rate term structure . Chapter V is relevant conclusions and policy recommendations . According to the above research thinking , the conclusion is mainly composed of the following aspects . ( 1 ) Based on the empirical analysis of the national debt data of the Shanghai Stock Exchange on June 30 , 2011 , the mean square error , discount rate and interest rate term structure curve of the fit price and the actual price difference are obtained . ( 2 ) Using the spline method to fit the data of the last day of the treasury bonds transaction from January 2006 to June 2011 , and describe the change characteristics of the period structure of the interest rate in China ' s national debt market during the period . The results show that the central bank ' s monetary policy operation is more frequent and the macro - economic volatility is relatively large during the period when the structure of interest rate period is large , and the macro - economic fluctuation has some relevance . ( 3 ) The principal component analysis of interest rate term structure is mainly to verify whether the structure of interest rate of our country meets three principal component characteristics . The results show that China ' s national debt market conforms to three principal component characteristics , and the first principal component is influenced by different periods . ( 4 ) First , the co - integration inspection and error correction model shows that there is a stable relationship between the interest rate term structure and the money supply quantity M2 . Secondly , the interest rate term structure of the treasury bonds is obviously the impulse response of the money supply M2 . Finally , the interest rate term structure of the Treasury bonds to the variance contribution rate of the money supply M2 is maintained at about 20 % . The above analysis conclusion shows that the interest rate term structure contains monetary policy information and can play a role in the implementation of monetary policy . ( 5 ) First , the co - integration test and error correction model show that there is a stable relationship between the structure of interest rate term and the economic prosperity index . Secondly , the impact of the structure of interest rate term on the economic prosperity index is weak . Finally , the structure of interest rate is more effective in the variance contribution rate of the macro - economic prosperity index . The above analysis conclusion shows that the rate term structure has validity in the conduct of macro - economy . Therefore , the structure of interest rate term can be regarded as an auxiliary tool to observe the trend of macro - economy . ( 6 ) First , the co - integration test and error correction model show that there is a stable relationship between the structure of interest rate term and the inflation CPI , which reflects the demand . Secondly , the structure of interest rate term has obvious effect on CPI . Although the study of interest rate term structure has many related documents , this paper has its own research characteristics , which can be summarized as the following points . ( 1 ) Selection of Interest Rate Term Structure Fit Estimation Model The fitting model of interest rate term structure mainly includes a static model and a dynamic model , and the static model is based on the principle of minimizing the gap between the fitting price and the actual price difference . By using the fitting method of the spline approximation , the assumption condition limitation of the dynamic model is avoided , and the method has the advantages of fitting the interest rate term structure . ( 2 ) Dynamic Characteristic Analysis of the Fitting Curve of Interest Rate Term Structure Descriptive statistical analysis method is used to describe the dynamic change tendency of interest rate term structure , macro - economic fluctuation and central bank ' s monetary policy , so as to explore the relationship among them . ( 3 ) Selection of Interest Rate Term Structure Applied Research Angle The research on the relationship between the interest rate term structure and the macro - economy and monetary policy is the hot spot in recent years , but most of the literatures have little research on the conduction mechanism .

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F812.5;F224

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