宏观经济因素影响利率期限结构的稳定性判别  

Identification of Stability for the Influences of Macroeconomic Variables to the Term Structure of Interest Rate

作　　者：丁志国[1] 徐德财[1] 李雯宁[1] 

机构地区：[1]吉林大学数量经济研究中心

出　　处：《数量经济技术经济研究》2014年第9期56-74,共19页Journal of Quantitative & Technological Economics

基　　金：国家自然科学基金项目(71073067);教育部人文社会科学重点研究基地重大项目(11JJD790010);教育部"新世纪"优秀人才计划和吉林大学哲学社会科学"青年学术领袖"计划的资助

摘　　要：本文选取2005-2013年中国银行间市场国债交易数据，借助动态NS模型提供的水平、斜率和曲度因子刻画利率期限结构特征，基于结构突变检验方法，实证判别了利率期限结构与宏观经济因素之间影响关系的稳定性。结果表明：利率期限结构存在显著的结构变化特征，而基于三类动态因子结构突变点进行分段回归的效果，明显优于固定系数模型的回归效果，且系数的估计结果存在显著性差异，说明宏观经济因素对利率期限结构的影响显著，但并不稳定，其影响结果依赖于人们关于宏观经济运行的预期。因此，政府在政策选择过程中必须有的放矢，以提升政策制定的合理性和有效性。Using level, slope and curvature latent factors estimated by dynamicNelson-Siegel Model, which depict the characteristics of the term structure of interest rate in China, this paper testifies empirically the stability of inter-relationships between macroeconomic factors and the term structure basing on Structure Change Testing method with 2005-2013 China＇s interbank transaction data. The results show that： there are obvious structure changes among the term structure of china interest rates, and the goodness of fit for regressions based on structure change points identified, whose estimated coefficients display significant differences among distinct phases, is better than fixed-coefficient regressions, indicatingthat macroeconomic factors have notable but unstable influences to the term structure of interest rate, and the unstable influences depend on the expectation of people to the situation of the economy. Therefore, policies of the government should be planed and targeted firstly to improve validity and rationality.

关 键 词：宏观经济变量 利率期限结构 稳定性 动态 NS模型 

分 类 号：F820.5[经济管理—财政学]