中国利率期限结构与宏观经济运行的关系——基于动态Nelson-Siegel模型的研究

发布时间：2018-05-27 17:37

本文选题：利率期限结构 + 宏观经济　；参考：《经济理论与经济管理》2014年08期

【摘要】：本文突破了传统上用几个关键期限利率的组合作为利率期限结构的代理变量,而是选用动态Nelson-Siegel模型估计出的潜在因子。且经验证明,本文选择的潜在因子较传统方法能更好地体现中国银行间国债市场的利率期限结构特征。同时,本文研究发现宏观经济在边际上影响着利率期限结构,其主要是实体经济(CPI和工业增加值)对斜率和曲度的影响,而对利率期限结构的平位移动没有明显影响。原因是中国存在着利率管制,而更为重要的是银行作为中国银行间国债市场的交易主体,其资金面较为宽松和稳定,有足够的资金用于国债交易。因此各期限国债利率无法对宏观经济变量作出及时响应。
[Abstract]:This paper breaks through the traditional use of several combinations of key term interest rates as proxy variables of the term structure of interest rates, but selects the potential factors estimated by the dynamic Nelson-Siegel model. Experience has proved that the potential factors selected in this paper can better reflect the interest rate term structure characteristics of China's interbank bond market than the traditional method. At the same time, it is found that the macro-economy influences the term structure of interest rate on the margin, mainly the real economy CPI and industrial added value) on the slope and curvature, but has no obvious effect on the shift of the term structure of interest rate. The reason is that there are interest rate controls in China, and more importantly, as the main trading body of China's inter-bank bond market, the bank has a relatively loose and stable fund, and sufficient funds are available for treasury bond trading. As a result, the interest rate of each term Treasury bond can not make a timely response to macroeconomic variables.
【作者单位】：中国人民大学统计学院;中国人民银行乌鲁木齐中心支行;
【基金】：国家社会科学基金项目(13BTJ004)
【分类号】：F822;F124

【相似文献】