我国宏观经济变量影响国债利率期限结构的实证研究
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| Title | The relationship between the macroeconomic variables and term structure of interest rates: evidence from China
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| 作者 | 陈浪南 郑衡亮 |
| Author | Chen Langnan and Zheng Hengliang |
| 作者单位 | 中山大学岭南学院 |
| Organization | Lingnan College, Sun Yat-sen University |
| 作者Email | nscln@mail.sysu.edu.cn；hengliang27@163.com |
| 中文关键词 | 利率期限结构 宏观经济变量 因子模型 多变量误差修正模型 |
| Key Words | Term Structure of Interest Rates; Macroeconomic Variables; Factor Model; Multivariable Error Correction Model |
| 内容提要 | 本文在分析我国国债利率期限结构特征的基础上，实证研究了宏观经济变量对国债利率期限结构的影响。本文首先采用因子模型分析了我国的利率期限结构，并提取了水平因子和斜率因子；然后使用逐步回归法和全局筛选法分组对各类宏观经济变量进行分析，选取了一组对收益率曲线有显著影响的宏观经济变量，最后使用多变量误差修正模型分别分析了宏观变量对收益率曲线两个因子的影响。研究结果表明，水平因子和斜率因子对收益率曲线变动的解释力度分别为78%和14%。经济增长预期、货币市场利率水平以及新增信贷对收益率曲线变动的水平因子具有显著解释力，而货币市场利率水平和美元指数波动对收益率曲线变动的斜率因子具有显著解释力。短期内，经济增长类指标对水平因子的影响非常显著，而物价类指标对水平因子影响不显著。货币市场利率水平既是水平因子，也是斜率因子的重要影响因素。 |
| Abstract | This study examines the properties of term structure of interest rates and the relationship between the macroeconomic variables and the term structure of interest rates. First, this study utilizes the factor model to analyze the yield curve and extract the level factor and the slope factor. Second, this study employs the stepwise regression and overall screen methods to analyze the macroeconomic variables and select the macroeconomic variables that have the significant impacts on the terms structure of interest rates. Finally, this study uses multivariable error correction model to examine the relationship between the macroeconomic variables and the term structure of interest rates. The empirical results show that the level factor and slope factor contribute 78% and 14% to the change of the yield curve respectively. The expected economic growth, the interest rate of money market and the incremental credit are the significant explainable factors on the level factor while the interest rate of money market and the US dollar index are the significant explainable variables on the slope factor. Particularly in the short run, the variables related to the expected economic growth have the significant impacts on the level factor while the variables related to inflation have not impacts on the level factor. The interest rate of money market is important for both level and slope factors. |
| 文章编号 | WP748 |
| 登载时间 | 2014-11-04 |
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