利率期限溢价与股权溢价:基于区制转移的非线性检验  

Testing for a Nonlinear Relationship between Term Structure of Interest Rates and Equity Premium Based on Regime Shift

作　　者：王志强[1] 熊海芳[2] 

机构地区：[1]东北财经大学应用金融研究中心／金融学院 [2]东北财经大学金融学院

出　　处：《金融学季刊》2011年第2期58-82,共25页Quarterly Journal of Finance

基　　金：国家自然科学基金“基于时变参数的学习机制、利率行为与政策效果研究”(71173030);教育部人文社会科学重点研究基地重大项目“利率期限结构与货币政策效果:基于中国银行业的产业组织分析”(2009JJD790004);辽宁省教育厅高等学校创新团队研究项目“中国利率期限结构、宏观经济与货币政策研究”(WT2010009)的资助

摘　　要：基于利率期限溢价和股权溢价具有区制转移的特征，本文采用马尔科夫区制转移自回归（MS—AR）模型检验利率期限溢价与股权溢价之间的非线性关系，并分析通胀预期、股市情绪和股市波动等因素对两者之间非线性关系的影响。我们的经验结果显示，不仅利率期限溢价和股权溢价各自存在区制转移特征，而且两者之间的关系也具有区制转移特征；通胀预期对两者非线性关系影响不显著，而股市情绪和股市波动能解释这种非线性关系。Based on the regime shifts in term premium of interest rates and equity premium, this paper uses Markov Switching Autoregression （MS-AR） model to test the Nonlinear Relationship between term premium of interest rates and equity premium, and analyze the effect of inflation expectation, market sentiment and stock market volatility on the nonlinear relationship. The empirical evidence shows that the regime shift appears not only in term premium of interest rates and equity premium, but also in the relationship between term premium of interest rates and equity premium. This nonlinear relationship is not affected by inflation expectation, but it can be explained by market sentiment and stock market volatility.

关 键 词：利率期限结构 股权溢价 区制转移 非线性关系 

分 类 号：F121.26[经济管理—世界经济]