我国利率期限结构及其与宏观基本面的关系

发布时间：2018-01-11 19:30

本文关键词：我国利率期限结构及其与宏观基本面的关系　出处：《电子科技大学》2014年硕士论文　论文类型：学位论文

【摘要】：利率期限结构研究在经济金融研究中扮演着极其重要的角色,从最简单的债券和股票的估值和定价到金融衍生品的定价、利率风险管理、投资分析管理以及中央银行或货币政策制定者制定货币政策等都离不开它。然而,利率期限结构的估计却一直困扰着学术界和实务界。使得大量学者投身于这方面的研究,并提出了很多的方法。但是现有文献研究表明,在利率期限结构的拟合和建模中,宏观经济因素常常被忽略。基于此,本文主要研究收益率因子和因子波动与宏观经济基本面之间的关系。我们以2009年10月至2013年8月中国银行间债券市场的每周最后一个交易日的收盘数据作为研究样本,利用基于贝叶斯推断的马尔科夫链蒙特卡罗模拟(MCMC)方法估计了HautschOu(2008)提出的带随机波动的动态Nelson-Siegel模型。并分析了得到的收益率因子和因子波动与我国宏观经济基本面之间的关系。研究结果表明:(1)宏观经济基本面对收益率因子有显著的影响,但是除货币政策对曲率因子波动有影响外,宏观基本面对因子波动没有显著的影响。(2)短期来看,一方面除了货币政策滞后对斜率因子有短期预测能力外,收益率因子均不能通过宏观经济变量进行预测,而水平因子和曲率因子对宏观经济基本面有显著的短期预测能力,斜率因子对宏观经济基本面没有显著的短期预测能力;另一方面,因子波动均对宏观经济变量没有显著地短期预测能力,而斜率因子波动能够通过货币政策进行预测,水平因子波动和曲率因子波动不能通过宏观经济基本面进行预测。(3)长期来看,一方面收益率因子对宏观经济基本面有长期的解释和预测能力,但是其解释和预测能力不强;宏观基本面对收益率因子也有长期的解释和预测能力,特别是对斜率因子的长期解释和预测能力比较好。另一方面,宏观经济变量对三个因子波动均有解释和预测能力,但是其解释和预测能力不强;因子波动对宏观经济变量中的通货膨胀率没有长期预测能力,对经济增长有很小的预测能力,对货币政策有长期的预测能力。
[Abstract]:Term structure of interest rate plays an important role in economic and financial research, from the simplest valuation and pricing of bonds and stocks to the pricing of financial derivatives, interest rate risk management. Investment analysis and management, as well as central banks or monetary policy makers to formulate monetary policy are inseparable from it. However, the estimation of term structure of interest rate has been puzzling the academic and practical circles. A large number of scholars have devoted themselves to the research in this field and put forward many methods. In the fitting and modeling of term structure of interest rate, macroeconomic factors are often ignored. This paper focuses on the relationship between yield factors and volatility and macroeconomic fundamentals. We take the closing date of the last trading day of each week in China's interbank bond market from October 2009 to August 2013. Disk data as a research sample. The Markov chain Monte Carlo simulation (MCMC) method based on Bayesian inference is used to estimate HautschOuan 2008). A dynamic Nelson-Siegel model with random volatility is proposed, and the relationship between the yield factor and factor fluctuation and the macroeconomic fundamentals of China is analyzed. The results show that: 1). Macroeconomic factors have a significant impact on the basic face of the rate of return factor. However, except for the influence of monetary policy on curvature factor fluctuation, there is no significant effect on macroeconomic factor fluctuation.) in the short term, except for the short-term forecasting ability of slope factor, the lag of monetary policy has the ability to predict the slope factor. The return factor can not be predicted by macroeconomic variables, while the horizontal factor and curvature factor have significant short-term forecasting ability to macroeconomic fundamentals. Slope factor has no significant short-term prediction ability to macroeconomic fundamentals; On the other hand, the factor fluctuations have no significant short-term forecasting ability to macroeconomic variables, while slope factor fluctuations can be predicted through monetary policy. Horizontal factor fluctuation and curvature factor fluctuation can not be predicted by macroeconomic fundamentals in the long run. On the one hand, the yield factor has long-term ability to explain and predict macroeconomic fundamentals. But its ability to explain and predict is not strong; The macroscopic basic face yield factor also has the long-term explanation and the forecast ability, especially to the slope factor long-term explanation and the forecast ability is good. On the other hand. Macroeconomic variables have the ability to explain and predict the fluctuation of three factors, but their ability of explanation and prediction is not strong. Factor fluctuation has no long-term forecasting ability to the inflation rate in the macroeconomic variable, little forecasting ability to the economic growth, and long-term forecasting ability to the monetary policy.
【学位授予单位】：电子科技大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.5

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