我国国债发行规模影响因素的VAR模型分析  

Analysis of Influencing the Issue Scale of National Debts Factors by Using the VAR Model

作　　者：李鑫[1] 刘语潇[1] 曲秋颖[1] 张华蕾[1] 

机构地区：[1]北京大学经济学院,北京100871

出　　处：《金融理论与实践》2011年第8期13-19,共7页Financial Theory and Practice

摘　　要：基于向量自回归(VAR)模型,运用单位根检验、Granger因果关系检验、脉冲响应函数、方差分解、等计量经济分析方法,对1981-2007年影响我国国债发行规模(NDS)的因素进行实证分析,说明了财政赤字规模(FD)和信贷规模(LS)的变化是影响国债发行规模变化的重要因素,两者对国债发行都产生正面效应,而且后者的作用更为显著,但两者对国债发行规模变化的影响都会随着时间延长而逐渐衰减。Based on the Vector Autoregressive （VAR） Model, this thesis uses the unit root test, Granger causality test, impulse response function, variance decomposition, and equality measurement economet- ric analysis, to do empirical analysis of factors which had important impacts on treasury bonds （NDS） during1981-2007. The results show that changes of financial deficit （FD） scale and the credit scale （LS） are important factors affecting the scale of treasury bonds. Both of them have a positive effect on the na- tional debt, and the latter is more prominent .Meanwhile, both of their impacts on changes of treasury bonds will gradually decay with time.

关 键 词：国债发行规模 财政赤字 信贷规模 VAR模型 

分 类 号：F830.91[经济管理—金融学]