长短期国债期限利差的宏观经济影响因素实证分析——基于中美两国的比较

发布时间：2018-02-12 01:54

本文关键词： 国债期限利差宏观经济因素 GARCH( )模型　出处：《苏州大学学报(哲学社会科学版)》2017年05期 　论文类型：期刊论文

【摘要】：本文根据中美两国10年期与3个月期国债到期收益率利差数据,在验证了长短期国债期限利差存在ARCH效应的基础上,构建了GARCH(1,1)模型,对中美两国各自长短期国债期限利差的宏观经济影响因素进行了实证。研究表明,经济增长因素与美国长短期国债期限利差波动性呈正相关,而对中国影响不显著;通货膨胀因素与两国各自长短期国债期限利差波动性均呈现正相关但对美国影响程度更大;货币政策的变化与美国长短期国债期限利差波动性呈现正相关与中国呈负相关;实际有效汇率的变动与两国各自长短期国债期限利差波动性均呈现正相关且对两国影响程度较为接近。整体比较而言,美国国债期限利差的宏观经济影响因素对其的影响程度更为显著。
[Abstract]:Based on the data of maturity yield spread of 10-year and 3-month bonds between China and the United States, a ARCH model is constructed on the basis of verifying the existence of ARCH effect in the term spread of long-term and short-term treasury bonds. This paper makes an empirical study on the macroeconomic influence factors of the maturity spreads of China and the United States. The results show that the factors of economic growth are positively correlated with the volatility of the long-term and short-term bond spreads, but the impact on China is not significant. Inflation factors are positively correlated with the volatility of the maturity spreads of the two countries' long-term and short-term bonds, but have a greater impact on the United States, while the changes of monetary policy have a positive correlation with the volatility of the short-term and long-term Treasury bonds of the two countries, and are negatively correlated with the volatility of the short-term and long-term Treasury bonds in China. The change of the real effective exchange rate is positively correlated with the volatility of the short-term and long-term bond maturity spreads between the two countries and has a close impact on the two countries. The macroeconomic factors affecting the term spread of US Treasury bonds are more significant.
【作者单位】：苏州大学东吴商学院;中国农业银行苏州分行;
【基金】：教育部人文社科基金资助项目“激励相容视角下互联网金融创新监管机制研究(项目编号:15YJA790001)”的阶段性成果
【分类号】：F124;F171.2;F812.5;F817.12

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