财政政策与利率期限结构:一个经验研究  

An Empirical Reach on the Effect of the Fiscal Policy and the Interest Rate Term Structure

作　　者：孙皓[1] 俞来雷[1] 

机构地区：[1]清华大学公共管理学院,北京100084

出　　处：《南方金融》2012年第3期14-17,共4页South China Finance

基　　金：博士后科学基金项目<利率期限结构与宏观经济的联合动态性研究>(项目编号:20110490432);国家社科基金项目<中日韩三国经济周期波动与影响因素研究>(项目批准号:06BGJ021);教育部人文社会科学重点研究基地重大课题项目<转轨时期中国经济增长轨迹与特征的实证研究>(项目批准号:05JJD790006)的资助

摘　　要：本文实证研究了我国财政政策对利率期限结构的影响特征。研究结果表明,财政政策与利率期限结构之间具有显著的双向Granger影响关系;财政政策冲击会引起利差变大,利差冲击则会引起财政支出增长率的提高;财政政策对利率期限结构的影响具有明显的时变性特征,影响强度逐渐减弱,并且伴随周期性变动特点;同时这种影响具有明显的非对称性,并且这种非对称性会使利差的波动性减小。因此,本文建议应着重分析利率期限结构中的政策信息,充分利用其政策应用价值。In this paper, we study the mechanism and effect of the fiscal policy on the interest rate term structure. There is significant two-way Granger relationship between the fiscal policy and the interest rate term structure. The impact of fiscal policy can enlarge the spread, and the impact of spread can enlarge the growth rate of fiscal expenditure. The effect of fiscal policy has obvious time-varying characteristics, and its strength becomes smaller and smaller with cyclical changes. The effect of fiscal policy is asymmetric, which will reduce the volatility of variable spread. Therefore, we should further improve the policy application of the interest rate term structure.

关 键 词：财政政策 利率期限结构 时变性 非对称性 

分 类 号：F812.0[经济管理—财政学] F822.0F224