中国利率期限结构和宏观经济相关性的实证研究

发布时间：2018-05-03 23:34

本文选题：宏观经济 + 利率期限结构　；参考：《首都经济贸易大学》2017年硕士论文

【摘要】：利率期限结构是一条由不同期限的到期收益率构成的曲线。在金融领域,它是金融资产及衍生品定价的基础。在宏观经济领域,它蕴含着大量的经济信息,可以预测未来的经济走势,为货币当局政策制定提供有效信息。因此,对于利率期限结构问题进行深入研究具有较为重要的理论意义和现实意义。本文围绕利率期限结构的理论基础,构建利率期限结构动态模型。首先,以动态Nelson-Siegel模型为基础,拟合我国的利率期限结构,获得利率期限结构的水平、斜率和曲率三因子。其次,根据结果对NS模型进行改进,提出双斜率因子LSSC模型,获得利率期限结构四因子。对比分析的结果表明,相比于三因子NS模型,双斜率因子LSSC模型增强了短期利率水平的解释能力,可以更好地拟合我国利率期限结构。实证方面,以泰勒规则为基础构建宏观经济变量指标,将双斜率因子LSSC模型拟合因子与宏观经济指标构建VAR模型,分析利率期限结构与宏观经济变量间的相互影响。结果表明,我国利率期限结构与宏观经济变量间的关系是联动的。从宏观经济变量对利率期限结构的作用来看,工业增加值对利率期限结构三因子存在显著的作用,通胀率冲击给利率期限结构三因子带来的响应是持久且稳定的。从利率期限结构对宏观经济变量的作用来看,水平因子对通胀率的解释能力很强,曲度因子对货币供给量有显著性作用。
[Abstract]:The term structure of interest rate is a curve composed of maturity yield of different term. In the financial sector, it is the basis for pricing financial assets and derivatives. In the field of macroeconomics, it contains a lot of economic information, which can predict the future economic trend and provide effective information for the policy making of monetary authorities. Therefore, it is of great theoretical and practical significance to study the term structure of interest rate. Based on the theoretical basis of term structure of interest rate, this paper constructs a dynamic model of term structure of interest rate. Firstly, based on the dynamic Nelson-Siegel model, we fit the term structure of interest rate in our country and obtain the three factors of the term structure of interest rate: level, slope and curvature. Secondly, according to the results, the NS model is improved, and the double slope factor LSSC model is proposed, and the four factors of the term structure of interest rate are obtained. The results of comparative analysis show that, compared with the three-factor NS model, the double-slope factor LSSC model enhances the interpretation ability of short-term interest rate level and can better fit the term structure of interest rate in China. On the basis of Taylor's rule, we construct the macroeconomic variable index, construct the VAR model by fitting the LSSC model with the double slope factor, and analyze the interaction between the term structure of interest rate and the macroeconomic variable. The results show that the relationship between term structure of interest rate and macroeconomic variables is linked. From the point of view of the effect of macroeconomic variables on the term structure of interest rate, industrial added value has a significant effect on the three factors of term structure of interest rate, and the response of inflation shock to the three factors of term structure of interest rate is long-lasting and stable. From the point of view of the effect of term structure of interest rate on macroeconomic variables, the horizontal factor has a strong ability to explain the inflation rate, and the curvature factor has a significant effect on the money supply.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F224;F822.0;F123.16

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