利率期限结构与宏观经济变量的动态关系研究

发布时间：2018-04-17 06:45

本文选题：利率期限结构 + 宏观经济变量　；参考：《湖南大学》2014年硕士论文

【摘要】：利率期限结构是学术界和经济界研究的焦点问题之一，以往学者的研究结果表明利率期限结构中包含了大量宏观经济变量的信息。期限结构与宏观经济间存在着密切的联动关系，量化这种联动关系，对于学术研究和投资者的市场操作都意义重大。本文根据凯恩斯的利率传导理论，费雪效应和泰勒规则的内容，从理论上分析了利率期限结构与宏观经济变量间的相互影响。为了印证理论分析的内容，本文构建了向量自回归仿射期限结构模型，该模型可以准确的反映利率期限结构的特征，还可以测度利率期限结构与宏观经济变量间的双向影响。实证中本文分别测算我国上海银行间同业拆借利率和债券回购利率及其利差与宏观经济变量间的动态关系，通过计算多组利差数据对经济增长和通货膨胀率的预测能力，以及这两组宏观数据对利差数据的脉冲响应、方差分解结果来量化测度影响程度的大小，以求通过所得数据探究我国利率市场与宏观经济变量的联系，同时，以此为据，，比对我国同业拆借市场和债券回购市场的市场化程度。研究结果表明，我国的利率中确实包含了与宏观经济相关的信息。利率期限结构与宏观经济变量间关系的强弱与利率的长短期限有关。我国利率市场化改革成效显著，拆借利率和回购利率作为我国市场上的准市场利率，基本上发挥出了市场利率的作用。出于利率期限结构与宏观经济变量的紧密联系，利率在货币政策的选择和实施中势必会发挥越来越重要的作用。
[Abstract]:Term structure of interest rate is one of the focal issues in academic and economic circles. The results of previous studies show that the term structure of interest rate contains a large number of macroeconomic variables.There is a close linkage relationship between term structure and macro economy. Quantifying this relationship is of great significance for academic research and market operation of investors.Based on Keynes' theory of interest rate conduction, Fisher effect and Taylor rule, this paper theoretically analyzes the interaction between term structure of interest rate and macroeconomic variables.In order to confirm the content of theoretical analysis, this paper constructs a vector autoregressive affine term structure model, which can accurately reflect the characteristics of term structure of interest rate and measure the bidirectional influence between term structure of interest rate and macroeconomic variables.In this paper, we calculate the dynamic relationship between Shanghai interbank offered rate and bond repurchase rate, and the difference between interest rate and macroeconomic variables, and calculate the ability of forecasting economic growth and inflation rate by calculating a number of interest rate data.And the impulse response of these two groups of macro data to the data of interest rate difference, the result of variance decomposition to quantify the degree of influence, in order to explore the relationship between the interest rate market and macroeconomic variables through the obtained data, and at the same time, take this as the basis,Compared to the interbank lending market and bond repo market marketization.The results show that China's interest rates do contain macroeconomic information.The relationship between the term structure of interest rate and macroeconomic variables is related to the duration of interest rate.The reform of interest rate marketization in China has achieved remarkable results. As the quasi market interest rate in our market, the interest rate of borrowing and repo has basically played the role of market interest rate.Due to the close relationship between term structure of interest rate and macroeconomic variables, interest rate is bound to play a more and more important role in the choice and implementation of monetary policy.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F124;F832.5

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