国债利率结构的动态分析与思考  

Interest Rate Structure Dynamic Analyis

作　　者：杨大楷[1] 王欢[1] 

机构地区：[1]上海财经大学万泰国际投资学院,上海200433

出　　处：《统计与信息论坛》1999年第3期17-21,共5页Journal of Statistics and Information

基　　金：国家社会科学基金"九五"项目;国家教委人文社科"九五"项目

摘　　要：文章通过动态追踪１９９８ 年１ —８ 月国债收益率曲线的变动得出以下结论：一是蝴蝶型变动偏多表明较为严重的市场分割，并对运用欠期技术规避风险产生影响。二是１９９８ 年的数次降息是影响利率结构变动的主要因素，但每次降息对利率结构有不同的作用方式。三是新国债发行的示范效应大于挤占效应。Rate structure is the indicator of the bond market.From a dynamic point of view ,we follow the movement of term structure from Jan.to Aug.1998 in China's government bond market,which leads to more revelations.First,too many butterfly movements may be an indication of higher degree of segregation.Second ,more times interest cuts in 1998 represented themselves as the dominant factor influencing the term structure though each one demonstrated some uniquenessy,and third,certain effects on term structure can be felt by new issuance in which exemplary effect seemed more apparent than crowding out effect because China's bond market was at the seller's stage,and fourth ,the movements of the term structure provides an useful reference for macro economic control.

关 键 词：国债 利率结构 数理分析 利率水平 

分 类 号：F812.5[经济管理—财政学]