我国宏观经济与利率期限结构的动态关联性研究  

Dynamic Relavance Between China's Macroeconomics and Term Structure of Interest Rates

作　　者：周鑫[1] 王雪标 Zhou Xin Wang Xuebiao(a.School of Economic b.School of Mathematics, Dongbei University of Finance and Economics, Dalian Liaoning 116025, China)

机构地区：[1]东北财经大学经济学院,辽宁大连100625 [2]东北财经大学数学学院,辽宁大连100625

出　　处：《统计与决策》2017年第21期146-150,共5页Statistics & Decision

基　　金：国家自然科学基金面上项目(71273044);国家自然科学基金青年项目(71501031)

摘　　要：文章在新凯恩斯框架下,对我国产出、通胀和利率期限结构的联合动态进行系统性建模,对我国宏观经济动态和利率期限结构的关联性进行研究。结果表明:利率期限结构的动态过程中存在显著的时变风险市场价格;风险溢价存在且具有"阶段性"变动特点;宏观经济冲击主要作用于短期利率,且期限越短冲击作用越大;方差分解显示,影响名义收益率的主要是潜在通胀预期冲击和货币政策冲击。Under the New Keynesian framework this paper constructs a systematic model of joint dynamic state of China＇ s output-input, inflation and interest rate term structure, and conducts a study on the relevance between China＇ s macroeconomic trends and interest-rate term structure. The study result shows that there exists significant time-varying risk market price in the dynamic process of the interest-rate term structure; risk premium both exists and assumes the characteristics of periodical varia- tion; macroeconomic shocks mainly act on the short-term interest rate, and the shorter the term, the greater the impact; variance decomposition demonstrates that the key factor affecting nominal yield comes from the shock of latent inflation expectation and that of monetary policies.

关 键 词：利率期限结构 无套利仿射 宏观-金融模型 风险溢价 

分 类 号：F832.5[经济管理—金融学] C812[社会学—统计学]