存贷款利率水平提高对国债收益率曲线变动影响的分析——基于单因素方差分析方法的实证研究  

An Analysis about the Impact of Deposit and Loan's Rates Hike on the Yield Curve of Bond—A Positive Analysis Based on the One-way ANOVA

作　　者：董研[1] 张可[1] 潘垚垚[2] 

机构地区：[1]南开大学经济学院,天津300071 [2]中央财经大学保险学系,北京100081

出　　处：《华东经济管理》2005年第9期131-136,共6页East China Economic Management

摘　　要：文章运用方差分析的方法,以九年来存贷款利率首次提高为切入点,考察了在我国特殊的金融运行体制下,存贷款利率变动对债券市场,对债券收益率曲线所产生的影响。文章使用上海证券交易所19支上市国债的日交易收盘数据,通过回归的方法首先拟合出了加息前后三个时间间隔段内每天的收益率曲线,然后通过单因素方差分析考察了在加息前后收益率曲线的截距、斜率是否发生了显著的变化,以及收益率曲线不同部分对加息这一信息的不同反应。检验结果显示,存贷款利率提高这一行为使债券收益率曲线无论是在水平因素上,还是在倾斜因素上都发生了显著的变化,并且长期收益率的敏感程度要大于短期收益率的敏感程度。This paper focuses on the impact of deposit and loan＇s rates hike on the yield curve of bond. Using the data of closing prices of nineteen bonds listed in the Shanghai Stock Exchange, the paper first fits the daily yield curve within three specified time period-one before the deposit and loan＇s rate hike the other two after the interest hike. Then the paper tests the significance of the difference on yield curve＇s intercept and slope between these three time periods by the means of one-way ANOVA and gives the result that the hike of deposit and loan＇s rates incur a significant change on the bond＇s yield curve both in the level factor and the slope factor.

关 键 词：存贷款利率 国债收益率曲线 单因素方差分析 

分 类 号：F406.71[经济管理—产业经济]