我国国债利率期限结构与宏观经济关系研究

发布时间：2018-06-08 14:43

本文选题：国债利率期限结构 + 宏观经济　；参考：《内蒙古大学》2017年硕士论文

【摘要】：国内外专家学者围绕有关利率期限结构同宏观经济两者间存在的关联性问题,展开了深入探讨。经过2016年"债灾"事件后,对国债利率期限结构的进一步研究显得尤为重要。在借鉴已有成果的基础上,本文深入剖析了国债利率期限结构同宏观经济两者间的关联性。首先,本文通过运用N-S模型来拟合我国国债利率期限结构;其次,使用长短期利差来代表利率期限结构,同时选用三个代表性的宏观经济变量工业增加值、通货膨胀率和广义货币供给量以作为宏观经济的代理变量;最后,通过对2009年至2010年与2011年至2016年两个时间段分别进行脉冲响应、方差分解与格兰杰因果检验,对国债利率期限结构同宏观经济两者间的关系做进一步分析。通过实证分析可知,仅有部分宏观经济变量同利率期限结构间存在双向关系,这说明我国国债市场还存在一定的不足之处。因此,根据本文研究结论提出了具有针对性的政策建议,以期能够对我国国债市场与宏观经济的发展都具有一定的积极意义。
[Abstract]:Experts and scholars at home and abroad have deeply discussed the relationship between term structure of interest rate and macro economy. After the "debt disaster" in 2016, it is particularly important to further study the term structure of government bond interest rate. Based on the existing achievements, this paper deeply analyzes the relationship between the term structure of interest rate and the macro economy. Firstly, the paper uses N-S model to fit the term structure of national debt interest rate in China; secondly, it uses the short-term and long-term interest rate difference to represent the term structure of interest rate, and selects three representative macroeconomic variables, industrial added value. Inflation rate and generalized money supply are taken as the proxy variables of macroeconomic. Finally, the impulse response, variance decomposition and Granger causality test are carried out for the two periods from 2009 to 2010 and from 2011 to 2016, respectively. This paper makes further analysis on the relationship between the term structure of government bond interest rate and macro economy. The empirical analysis shows that there is only a two-way relationship between some macroeconomic variables and the term structure of interest rate, which indicates that there are still some deficiencies in our national debt market. Therefore, according to the conclusions of this study, the paper puts forward some targeted policy recommendations, in order to have certain positive significance for the development of national debt market and macro economy in China.
【学位授予单位】：内蒙古大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F822.0;F123.16

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