货币政策对我国国债收益率影响的实证分析

发布时间：2018-04-02 21:13

本文选题：国债收益率　切入点：货币政策　出处：《吉林大学》2017年硕士论文

【摘要】：国债收益率通常被解释为投资国债每年所得收益占资本的比例,能为投资者进行资产定价、投资决策等提供重要依据。国债收益率曲线也是风险管理、金融资产定价、套期保值等方面的参照标准,以此构建的国债利率期限结构更能作为“晴雨表”反映宏观经济情况。对国债收益率的研究多涉及到国债利率期限结构的构建及估计方面,对此国内外已经做了相当程度的探索,而针对宏观经济因素对国债收益率的影响分析方面国内的研究则相对较少。随着人民币在离岸市场及在岸市场的快速发展,银行间、交易所债券市场的日渐融合,债券一级市场及二级市场的日益成熟,SDR利率篮子纳入了3个月国债收益率曲线利率等,探究宏观经济因素与国债收益率之间的相关关系具有十分深远的理论和现实意义。不仅有助于研究宏观经济政策在国债市场传导性机制是否成熟、有效,有助于投资者合理地进行投资决策,还有助于政策制定当局理性调节国债发行制度、规模、频率等,从而有利于我国在深化经济体制改革的重要阶段建立起更加完善、稳健、高流动性的国债市场。本文应用数理金融和回归分析等方法展开分析,实证剖析了货币政策对国债收益率的影响:首先,基于数理金融和模型创新的角度实证分析了货币政策对国债收益率曲线的短期冲击效应。一方面,采用基于外生性结构突变的事件分析法研究降准的货币政策分别对1年、5年、10年、20年期国债收益率走势的短期冲击效应。结果显示:5年期国债收益率走势受降准政策的负向冲击效应最为显著,1年、10年、20年期次之。另一方面,基于利率期限结构理论首次分别结合遗传算法及非线性最小二乘法、久期加权非线性最小二乘法构建了Svensson扩展模型,得到了0至50年到期期限的国债收益率曲线,并与三次多项式样条模型的拟合效果相比,接着结合图形及模型参数研究了降准的货币政策对国债收益率曲线的短期影响。结果显示:(1)Svensson扩展模型在对国债收益率曲线进行拟合方面具有相对更显著、可信的拟合效果。(2)降准政策不仅在国债利率期限结构图上较为明显地表现出了下降趋势,而且利率曲线的渐近线参数、斜率参数及曲度参数在数次降准政策前后一周均发生了显著变动。其中,渐近线参数显著下降,利率曲线的渐近线水平及起始水平显著下降;斜率参数绝对值显著下降,利率曲线更加平缓,本文以为这主要是债券市场参与者预期扩张政策的力度有限,通货紧缩状态会持续而引起的;曲度参数显著上升,利率曲线曲度增大。接下来,基于回归分析方法实证了货币政策对国债收益率曲线的短期及长期影响。首先为了考察货币政策变量变动对国债收益率的短期作用,通过因子分析法找出了影响国债收益率动态特征的公共因子,前两个公共因子分别为水平因子、斜率因子。由于水平因子及斜率因子对国债收益率的解释度已高达93.95%,则通过逐步回归法对货币政策变量变动及水平因子、斜率因子进行回归。接着为了考察货币政策变量对国债收益率的长、短期影响,构建了月度货币政策序列对不同期限月度国债收益率序列的ADL模型,并结合ECM模型实行误差修正。实证结果如下:(1)国债收益率的本质特征显示,利率政策指标的变动对水平因子、斜率因子均有显著的短期影响。水平因子与公开市场操作具有相关性。此外,汇率政策的变动对水平因子、斜率因子的影响均不显著。(2)从短期影响来看,利率政策、公开市场业务指标对短期及中期国债收益率的变动会产生较为显著的同向冲击效应。对于到期期限较长的国债,汇率政策对国债收益率产生短期同向影响。(3)从长期影响来看,公开市场业务作用下市场利率走势对国债收益率走势会产生持续的同向作用,价格型货币政策变量与国债收益率存在长期关系。(4)国债收益率除受货币政策变量影响之外,还受其他宏观经济变量或非宏观经济变量的影响。
[Abstract]:Bond yields are usually interpreted as the annual investment in bonds proceeds accounted for the proportion of capital asset pricing, can provide an important basis for investors, investment decisions. The yield curve is the financial risk management, asset pricing, hedging and other aspects of the reference standard, the term structure of interest rates in order to build more as a "barometer" reflect the macroeconomic situation. The study yields much involves the construction of the term structure of interest rates and estimates, which have done at home and abroad a considerable degree of exploration, and according to the macroeconomic factors on the yields of domestic research is relatively small. With the rapid development of the renminbi in the offshore market. And in the offshore market between banks, exchange bond market integration, the bond market and two market matures, the SDR interest rate into the basket The 3 month Treasury yield curve of interest rates, has great theoretical and practical significance to explore the relationship between macroeconomic factors and yields. Not only contribute to the study of macroeconomic policy in the bond market is mature and effective, conductive mechanism, helps investors reasonably make investment decisions, but also help in the policy authorities rationally adjust the distribution system, the scale of treasury bonds, such as frequency, which is conducive to China's establishment of an important stage in deepening the reform of the economic system more perfect, stable, high liquidity of the bond market. This should be carried out by analysis of mathematical finance and regression analysis, the empirical analysis of the impact of monetary policy on bond yields rate: first, an empirical mathematical model based on the perspective of financial innovation and analyzes the short-term impact of monetary policy on the YC. On the one hand, based on the exogenous Structural analysis of mutation event study drop quasi monetary policy for 1 years, 5 years, 10 years, short-term impact 20 year bond yields trend. The results showed that: 5 year bond yields trend by quasi policy negative impact effect is the most significant, 1 years, 10 years, 20 years during the period of time. On the other hand, the theory of the term structure of interest rates for the first time respectively by combining the genetic algorithm and the nonlinear least squares method based on weighted nonlinear least squares method to construct the Svensson duration model, 0 to 50 years the maturity of the bond yield curve is obtained, and compared with three fitting polynomial spline model, short-term effect then combined with graphics and model parameters on the drop quasi monetary policy on curve yields. The results showed: (1) the expansion of Svensson model in fitting curve of bond yields is relatively more significant, reliable fitting Results. (2) RRR policy not only in the term structure of interest rates on the map are clearly showed a downward trend, and the interest rate curve asymptote parameter, slope parameter and curvature parameter RRR policy before and after a week there were significant variations in several parameters. The asymptote decreased significantly, the level of interest rates and initial asymptote the curve decreased significantly; the absolute value of the slope parameter decreased significantly, the interest rate curve is more smooth, we think this is mainly the bond market participants expected limited expansion policy, deflation will continue due to increased significantly; curvature parameter, interest rate curve increased. Then, regression analysis demonstrated the short-term and long-term impact of monetary policy rate based on the curve of the Treasury bonds. Firstly, in order to study the monetary policy variable short-term effect on bond yields, through the factor analysis method to find The effects of common factors yields the dynamic characteristics of the two common factors were level factor, slope factor. Because the level factor and the slope factor of yield degree of interpretation has been as high as 93.95%, while the monetary policy variable and level factor stepwise regression method, the regression slope factor then. In order to study the monetary policy variables on the yields of long, short term effects, construct a model of the ADL sequence sequence on the rate of monthly monetary policy in different period of monthly bond yields, and combined with the ECM model to implement the error correction. The empirical results are as follows: (1) shows the essential characteristics of bond yields, the factor index change on the level of interest rate policy the short-term effect, slope factor significantly. The level of factor correlated with open market operation. In addition, the exchange rate policy changes on the level factor, slope factor effects were not significant . (2) the interest rate from the short-term effect, policy index of open market operations on short-term and medium-term bond yields will produce significant changes in the same direction. The impact of longer maturity bonds, exchange rate policy has the same influence rate of short-term Treasury yields. (3) from the long-term effects, the trend of the market the interest rate effect of open market operations under the rate on Treasury yields will have to continue with the role, there is a long-term relationship between price based monetary policy variables and bond yields. (4) yields not only by monetary policy variables, but also influenced by other macroeconomic variables and macroeconomic variables.

【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F822.0;F812.5

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