关于中美国债市场联动性及其影响因素的实证分析

发布时间：2018-04-17 00:25

本文选题：收益率曲线 + Nelson-Siegel模型　；参考：《厦门大学》2014年硕士论文

【摘要】：国债收益率曲线是整个金融市场定价的参考基准,同时也反映了一个国家的宏观经济走势。中美两国的国债收益率曲线的联动性问题不仅关乎这两个经济体的宏观经济走势的大势,而且对企业家和投资者的投资效益而言有重要影响。本文选取中美两国的国债收益率曲线多个期限的2002--2013年间的月度数据及2008年7月—2013年3月间的周数据,用相关系数、格兰杰因果检验等等方法进行分析,结果显示,发现在月度频率下,中国的国债收益率影响美国的国债收益率,尤其是中国1年期和20年期的国债收益率能够影响美国的整条收益率曲线。而在金融危机后,周数据中表现出了两国各期限的国债收益率的相互影响,尤其是美国1年期的国债收益率对中国各期限的国债收益率都有显著影响。鉴于此,我们首先通过动态的Nelson-Siegel(N-S)模型从两国的名义国债收益率曲线中各析取了收益率因子并对他们做联动性分析。本文第一次通过对收益率因子的联动性分析以了解两国收益率曲线联动的整体性特征,结果发现各个收益率因子的确存在着显著的联动关系,说明中国资本市场逐步开放和人民币实现有管理的浮动汇率的背景下,中美两国的收益率曲线之间的动态联系日益紧密。接着我们通过选取人民币升值预期指标和外汇储备月度同比增量等影响收益率的宏观因子,运用VAR模型进行动态的分析,发现收益率因子和这些宏观变量的确存在着显著的相互影响的关系。这些定量分析,验证了我们分别从资本循环、对外贸易对两国实体经济的影响和国际热钱冲击等方面对中美两国国债收益率曲线的联动机制所做的分析,认为中国参与世界经济的资本循环方式很好解释了两国收益率曲线之间的联系,中美之间的贸易能对美国通货膨胀进而对美国收益率水平因子产生很清晰的影响,而国际热钱的冲击更易影响中国的利率和汇率进而对中国收益率产生影响。
[Abstract]:Treasury yield curve is the reference point of the whole financial market pricing, but also reflects the macroeconomic trend of a country.The linkage of the bond yield curve between China and the United States is not only related to the macroeconomic trends of the two economies, but also has an important impact on the investment returns of entrepreneurs and investors.This paper selects the monthly data from 2002 to 2013 and the weekly data from July 2008 to March 2013 of the bond yield curve of China and the United States, and analyzes them by using correlation coefficient, Granger causality test and so on. The results show that,It is found that at monthly frequency, Chinese Treasury yields affect U.S. Treasury yields, especially the yields of Chinese one-year and 20-year bonds, which can affect the entire yield curve of the United States.In the aftermath of the financial crisis, the weekly data showed the mutual influence of the bond yields of the two countries with different maturities, especially the yield of the one-year Treasury bonds of the United States had a significant impact on the yields of China's bonds of all maturities.In view of this, we first extract the yield factors from the nominal bond yield curve of the two countries through the dynamic Nelson-Siegelon N-S) model and make a linkage analysis of them.For the first time, through the linkage analysis of the yield factor, this paper tries to understand the overall characteristics of the linkage between the two countries' yield curve. The results show that there is a significant linkage relationship between the various yield factors.It shows that under the background of the gradual opening of China's capital market and the realization of managed floating exchange rate, the dynamic relationship between the yield curve of China and the United States is increasingly close.Then we use the VAR model to analyze the macro-factors which influence the rate of return, such as the expected index of RMB appreciation and the monthly increment of foreign exchange reserves.It is found that the return factor and these macro variables do have a significant interaction.These quantitative analyses verify our analysis of the linkage mechanism of the bond yield curve between China and the United States from the aspects of the capital cycle, the impact of foreign trade on the real economy of the two countries and the impact of international hot money.It is believed that the capital circulation mode of China's participation in the world economy explains the relationship between the two countries' yield curves, and that the trade between China and the United States can have a very clear impact on American inflation and on the United States yield level factor.The impact of international hot money is more likely to affect China's interest rates and exchange rates.
【学位授予单位】：厦门大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F837.12

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