我国国债利率期限结构及其对通货膨胀预测能力的实证研究

发布时间：2018-02-24 16:33

本文关键词： 利率期限结构 B样条函数 Mishkin方程名义利差通货膨胀率　出处：《南京农业大学》2012年硕士论文　论文类型：学位论文

【摘要】：本文以利率期限结构的传统理论为基础,以我国上交所附息国债相关样本数据为研究对象,基于三次B样条函数模型,拟合了我国国债利率期限结构并研究了其动态变化,之后根据Mishkin通货膨胀方程,实证分析了利率期限结构在一定程度上是否对未来通货膨胀率有预测作用。首先本文在前人研究的基础上,比较分析了多项式样条模型、B样条函数模型、Nelson-Siegel模型及Svensson模型四种不同的利率期限结构静态拟合模型,发现B样条函数模型算法稳定可靠,最适合作为当前债券利率期限结构的构造模型。其次本文利用2011年11月18日上交所27支附息国债相关数据,基于三次B样条函数模型,通过估计模型参数,得出了我国国债利率期限结构,并构造出了隐含在上交所国债价格横截面中的即期利率曲线和远期利率曲线。看到即期利率曲线和远期利率曲线均十分平稳光滑,即期利率曲线在18年期之前是倾斜向上,18年期以后趋向平坦,基本是一条向右上方倾斜的形状正常的曲线,短期利率低,长期利率高,这说明利率期限结构的流动性偏好理论在我国国债市场上是有效的,同时验证了利率期限结构传统理论中的流动性偏好理论。另外,本文又估计了上交所国债利率期限结构的动态变化,发现利率期限结构随着时间的推移是平行移动的,在每一个时点上,利率期限结构随着期限的增加基本上是一条向上倾斜的曲线,从整体上进一步说明流动性偏好理论在我国债券市场的有效性。再次本文利用2006年12月到2011年11月间物价消费指数CPI数据计算得到这段期间的通货膨胀率月度数据,并由上交所附息国债的相关数据计算得到此期间的利率期限结构月度数据,进而根据Mishkin通货膨胀方程,利用时间序列分析方法实证研究了利率期限结构是否对通货膨胀率有预测作用。实证结果表明,6个月与3个月的名义利差是可以预测未来通货膨胀率变化的,2年期与6个月的名义利差也包含一定的通货膨胀信息,一定程度上可以预测未来通胀的变化,其他期限差的名义利差则不能预测未来通货膨胀的变化。总体上,我国上交所国债利率期限结构有一定的预测通货膨胀的能力,但效果并不显著。最后本文在以上分析的基础上,总结了我国国债利率期限结构构造情况及其对通货膨胀率的预测能力的效果,并针对分析结果提出要不断加快推进利率市场化改革,条件成熟时可定期公布我国利率期限结构曲线,发布预期通货膨胀率和长短期利差,逐步将其纳入经济先行指标中,使我国的货币政策制定更加及时准确。
[Abstract]:Based on the traditional theory of term structure of interest rate, taking the sample data of interest-bearing national debt of Shanghai Stock Exchange as the research object, and based on the cubic B-spline function model, the paper fits the term structure of interest rate and studies its dynamic change. Then, according to the Mishkin inflation equation, the paper empirically analyzes whether the term structure of interest rate can predict the future inflation rate to a certain extent. On the basis of previous studies, this paper compares and analyzes four different static fitting models of interest rate term structure, such as polynomial spline model and B-spline function model. It is found that the B-spline function model algorithm is stable and reliable, and the Nelson-Siegel model and Svensson model are different static fitting models of interest rate term structure. It is the most suitable construction model for the term structure of the current bond interest rate. Secondly, based on the data of 27 interest-bearing bonds of the Shanghai Stock Exchange in November 18th 2011, based on the cubic B-spline function model and by estimating the parameters of the model, the term structure of interest rate of China's treasury bonds is obtained. The spot interest rate curve and the forward interest rate curve hidden in the cross section of the bond price of the Shanghai Stock Exchange are constructed. It is found that the spot interest rate curve and the forward interest rate curve are very smooth and smooth. The spot interest rate curve was tilted upward before 18 years, flattened after 18 years, basically a normal curve tilted to the upper right, with low short-term interest rates and high long-term interest rates. This shows that the liquidity preference theory of term structure of interest rate is effective in the national debt market of our country, and it also verifies the theory of liquidity preference in the traditional theory of term structure of interest rate. This paper also estimates the dynamic changes in the term structure of the interest rate of the Shanghai Stock Exchange. It is found that the term structure of the interest rate moves in parallel with the passage of time, at each point in time. The term structure of interest rate is basically an upward curve with the increase of term, which further explains the validity of liquidity preference theory in China's bond market. Thirdly, using the CPI data of the price consumption index from December 2006 to November 2011, we calculate the monthly inflation rate data for this period. The monthly data on the term structure of interest rates during this period are calculated from the relevant data of interest-bearing bonds on the Shanghai Stock Exchange, and then according to the Mishkin inflation equation, The paper empirically studies whether term structure of interest rate can predict inflation rate by using time series analysis method. The empirical results show that the nominal interest rate difference between 6 months and 3 months can predict the change of inflation rate in the future, and the change of inflation rate can be predicted in 2 years. The nominal spread between the period and the six-month period also contains some inflation information. To a certain extent, we can predict the change of future inflation, while other nominal interest rate differentials with different maturities cannot predict future inflation. In general, the term structure of the interest rate on the Shanghai Stock Exchange of China has a certain ability to predict inflation. But the effect is not significant. Finally, on the basis of the above analysis, this paper summarizes the construction of the term structure of the interest rate of national debt and its ability to predict the inflation rate, and puts forward that we should continuously accelerate the reform of interest rate marketization in view of the results of the analysis. When the conditions are ripe, the term structure curve of China's interest rate can be published periodically, the expected inflation rate and the long and short term interest rate difference can be published, and it can be gradually incorporated into the economic leading index to make the monetary policy of our country more timely and accurate.
【学位授予单位】：南京农业大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F812.5;F822.5;F224

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