中美德国债收益率曲线的共同影响因素  

Common Factors Affecting the Yield Curves of Chinese, American and German Government Bonds

作　　者：韩国文[1] 黄笑言[1] 赵刚[1] 

机构地区：[1]武汉大学经济与管理学院

出　　处：《金融论坛》2016年第10期30-39,50,共11页Finance Forum

基　　金：国家社会科学基金资助项目(11BJy05);教育部规划基金资助项目(10YJAZH024)

摘　　要：本文运用共同主成分分析研究中美德三国国债收益率曲线变动的共同因素结构,研究表明:共同水平因素和共同斜度因素起决定性作用;共同水平因素主要与各国水平因素有关,但也会受到各国斜度因素的小幅影响,由各国期限结构的水平变动决定;共同斜度因素同时受到各国水平因素和斜度因素的相反作用,由各国期限结构的斜率变动决定。针对这两种因素采取套期保值策略,可以防范三国国债收益率95%以上的波动风险。In this paper, the authors use the co-principal component analysis to research the structure of common factors affecting the changes in the yield curves of Chinese, American and German government bonds. The conclusions of the paper show that the common level factor and the common slope factors play a decisive role; The common level factors are related to the level factors of relevant countries and are also affected by the slope factors of relevant countries to a small extent which is decided by level change in term structure; the common slope factors are simultaneously subjected to the opposite impacts of the level factors and the slope factor of relevant countries, and are decided by slope changes in term structures of relevant countries. The hedging strategy for these two factors can prevent more than 95% fluctuation risks of the government bond yields of the three countries.

关 键 词：中国国债收益率 美国国债收益率 德国国债收益率 国家债券 债券市场风险 国际债券组合 

分 类 号：F811.5[经济管理—财政学]