利率期限结构内含的宏观经济信息——基于TVP-VAR模型的时变参数研究  

What Does the Term Structure Tell Us about the Macro- economy?A Time- varying Analysis Based on TVP- VAR Model

作　　者：金雯雯[1] 陈亮[1] 毛德勇[1,2] 叶茜茜[3] 

机构地区：[1]南京大学商学院 [2]中国建设银行江苏省分行 [3]温州大学

出　　处：《经济评论》2014年第5期123-135,147,共14页Economic Review

基　　金：国家社科基金年度项目"基于美国金融战略视角的人民币内外价值偏离研究"(项目编号:14BJL120);浙江省哲学社会科学规划立项课题"基于温州产业转型战略的民间资本投资偏好研究"(项目编号:12YD46YB);河南省教育厅科学技术研究重点项目"金融发展推动河南省产业升级的机理研究"(项目编号:13A790398);温州金融研究院课题"温州民间资本投资偏好研究--基于实体经济空心化与转型升级战略视角"(项目编号:ZB12108)资助

摘　　要：本文利用动态Nelson Siegel模型估计国债利率期限结构,并构建时变参数向量自回归(TVP-VAR)模型研究利率期限结构与宏观经济之间的关系,从中探寻利率期限结构隐含的宏观经济信息。研究结果表明,总体上我国利率期限结构的调整与经济运行相匹配,利率期限结构发挥了对经济周期和通货膨胀的"指示器"作用;我国利率期限结构在形态及变化特征上与成熟市场经验相比存在偏差,且货币政策利率对利率期限结构变化的反应不够灵敏;相比经济周期和通货膨胀而言,我国利率期限结构没有明确体现出货币政策利率调控的信息。这些结论为我们进一步健全国债利率期限结构、完善货币政策传导机制提供思路。We use Dynamic Nelson - Siegel model to estimate the term structure of interest rates for Chinese government bonds. In order to study the macroeconomic information implied in the term structure,we also use a Time - varying Parameter Vector Autoregressive （TVP - VAR） model to analyze the relationship between term structure and the macro - economy. Our results showed that, the movement of China＇ s term structure matched the economic fundamentals well. In general, China＇ s term structure of interest rates had indicative effect on economic cycle and inflation; there was deviation between the dynamic characteristics of China＇ s term structure and that of America; Compared with mature markets experience in America, the reaction of China＇ s monetary policy to changes of the term structure was not sensitive enough. Compared with economic cycle and inflation, term structure in China did not embody enough provided us suggestions to further improve mechanism of monetary policy. information about monetary policy. Our conclusion term structure of interest rates and transmission

关 键 词：利率期限结构 宏观经济 内含信息 时变性 

分 类 号：F224[经济管理—国民经济] F822.0