预期和风险溢价的启示——中国国债收益率曲线分解研究

发布时间：2018-09-10 09:29

【摘要】：虽然国内国债收益率曲线的研究在这些年已取得长足进展,但是关于估算和分解收益曲线中所隐含的政策预期和风险溢价成分方面的学术研究尚处于起步阶段。鉴于分解国债收益率的众多实际和理论上的意义,本文采用无套利期限结构模型框架来研究对收益率曲线分解,以期在此领域投石问路。我们的实证研究首先从利率预期角度解读中国式"格林斯潘之谜"(即我国中长端利率收益率长期偏低,且对短期利率反应不敏感);其次探讨了中长期利率波动之源——风险溢价。我们结果显示:第一,我国偏低的中长期国债利率主要反映了未来短期利率预期偏低;对短期利率反应不敏感主要反映了我国短期利率较强的均值回归特性。第二,我国中长期收益率波动性主要来自于风险溢价成分,短期利率预期成分一直相对稳定;而风险溢价不仅受到国内因素的影响(特别是国内CPI通货膨胀),也受到国际因素的影响(特别是美国债10年利率)。
[Abstract]:Although the research on the yield curve of national debt has made great progress in recent years, the academic research on estimating and decomposing the policy expectation and risk premium component of the yield curve is still in its infancy. In view of the practical and theoretical significance of decomposing the yield of treasury bonds, this paper uses the no-arbitrage term structure model to study the decomposition of the yield curve in order to find out the way in this field. Our empirical study first interprets the Chinese "Greenspan Mystery" from the perspective of interest rate expectation (that is, the long-term interest rate yield in China is on the low side for a long time. And it is insensitive to short-term interest rate. Secondly, it discusses the source of medium and long-term interest rate volatility-risk premium. Our results show that: first, the low interest rate of our country mainly reflects the low expectation of the future short-term interest rate, and the insensitivity to the short-term interest rate mainly reflects the strong characteristic of the mean regression of the short-term interest rate in our country. Second, the volatility of the medium and long term yield in China is mainly from the risk premium component, and the expected component of short-term interest rate has been relatively stable. The risk premium is influenced not only by domestic factors (especially domestic CPI inflation) but also by international factors (especially the 10-year interest rate on US Treasuries).
【作者单位】：东北财经大学金融学院;平安养老保险股份有限公司;中国人民大学国际货币研究所;
【分类号】：F832.51

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