中国宏观经济对国债利率期限结构的影响研究——基于动态随机一般均衡模型的分析  

The Effect of Macroeconomy on the Interest Rate Term Structure of China's Treasury Bond:A Study Based on a Dynamic Stochastic General Equilibrium Model

作　　者：刘澜飚[1] 沈鑫[1] 王博[1] 

机构地区：[1]南开大学经济学院,天津300071

出　　处：《金融研究》2014年第11期49-63,共15页Journal of Financial Research

基　　金：南开大学中央专项业务费专项基金(课题号:NKZXTD1107)资助

摘　　要：我国正处于利率市场化的进程中,宏观经济环境对利率期限结构的影响日渐显著。本文在动态随机一般均衡的框架下,从宏观经济的视角分析我国国债利率期限结构及其风险溢价。模拟结果表明,使用Epstein-Zin效用函数、长期风险等元素的模型可以较好地拟合我国一至十年期国债收益率和一些关键的宏观经济变量。利用国债收益率进行的参数估计表明,我国短期国债收益率偏低的现象可部分归因于我国居民风险厌恶程度较大。历史模拟结果推断,在样本区间内我国国债风险溢价呈现上升趋势和时变特征。宏观经济冲击使利率期限结构出现非平行移动,不同冲击的影响方式与程度差异较大。China is in the process of marketization of interest rates, c environment impacts to the term structure of interest rates should be of increasingly significant. In this paper, we build a dynamic stochastic general equilibrium model to analysis the term structure and its risk premium from a macroeconomic perspective. The simulation results show that the model including the Epstein - Zin utility function, long - term risk and other elements is able to match the dynamic behaviors of some key macroeconomic variables and the yield curve containing 1 - tolO - year yie｜ds. Parameter estimation results indicate that the low yields of short - term phenomenon can be attributed in part to a greater degree of risk aversion of residents. Historical simulation results infer that the risk premiums were increasing and time -varying in the sample interval. The term structure of interest rates appears non - parallel move under macroeconomic shocks, the mechanisms and impacts of shocks are different from each other.

关 键 词：利率期限结构 风险溢价 DSGE模型 

分 类 号：F124[经济管理—世界经济] F832.51F224