通货膨胀水平、股票市值与中国国债利率期限结构

发布时间：2018-01-28 11:47

本文关键词： 利率期限结构通货膨胀率股票市值动态Nelson-Siegel模型　出处：《金融发展研究》2017年01期 　论文类型：期刊论文

【摘要】：本文选取2007年1月—2016年6月中国国债即期收益率数据,利用动态Nelson-Siegel模型构造反映国债利率期限结构的水平、斜率和曲率因子,并运用Johansen协整检验、VEC模型等方法考察通货膨胀水平、股票市值与利率期限结构间的行为特征,研究发现:通过Nelson-Siegel模型构造的结构因子体现出利率期限结构的特征;通货膨胀率、股票市值与国债利率期限结构的水平、斜率因子之间存在长期的协整关系,但是通货膨胀水平和股票市值变动对水平因子无显著影响,反映出货币政策向债券市场传导的效率有待完善;长期看来,通货膨胀水平和股票市值均在缩小斜率因子方面效果显著。此外,斜率因子可以预测出通货膨胀水平的变化,为制定和实施货币政策提供前瞻性信息。
[Abstract]:Based on the data of spot yield from January 2007 to June 2016, this paper uses dynamic Nelson-Siegel model to construct the level of term structure reflecting the interest rate of national debt. The slope and curvature factor, and the Johansen cointegration test are used to investigate the behavior characteristics between the inflation level, the stock market value and the term structure of interest rate. It is found that the structural factors constructed by the Nelson-Siegel model reflect the characteristics of the term structure of interest rate; There is a long-term cointegration relationship between inflation rate, stock market value and Treasury interest rate term structure, slope factor, but inflation level and stock market value change have no significant effect on the level factor. It reflects that the efficiency of monetary policy transmission to bond market needs to be improved. In the long run, both inflation and stock market value have had significant effects in reducing the slope factor. In addition, the slope factor can predict changes in inflation levels. Provide forward-looking information for the formulation and implementation of monetary policy.
【作者单位】：中国银行业协会;香港交易所;天津财经大学;上海证券交易所;
【分类号】：F822.5;F812.5;F832.51
【正文快照】： 4.上海证券交易所,上海200120)一、引言2016年6月15日,中国人民银行官网发布了国债等债券收益率曲线,旨在提升国内外市场主体对国债收益率曲线的关注和认可,完善国债收益率曲线的基准性,推动人民币国际化进程。债券收益率曲线也称为利率期限结构,表示不存在违约风险时零息债券

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