债券市场利率期限结构的信息价值——银行间市场与交易所市场比较研究  

The Information Values of the Interest-Rate Term-Structure of Bond Markets——A Comparative Study of Inter-Bank Market and Exchange Market

作　　者：徐小华 史浩然 曹丹 陈琦[2] XU Xiao-hua;SHI Hao-ran;CAO Dan;CHEN Qi

机构地区：[1]浙江工业大学之江学院 [2]浙江工业大学经贸管理学院 [3]浙江工商大学工商管理学院

出　　处：《金融论坛》2017年第12期33-46,共14页Finance Forum

基　　金：国家社会科学基金"基于温州指数的中国民间融资利率指数构建及其应用价值研究"(16BJY165);国家社会科学基金重大项目"后危机时代全球金融经济周期理论新发展及应用问题研究"(16ZDA030)

摘　　要：本文基于非线性STR模型,研究全市场、银行间市场和交易所市场收益率曲线三因子与未来经济增速、通货膨胀的非线性关系。研究发现:全市场利率期限结构与未来经济增速之间存在非线性关系;银行间债券市场比交易所债券市场与宏观经济变量有更明显的非线性关系;银行间固定利率国债收益率曲线比中国固定利率国债收益率曲线更能预测未来经济增长变化和通货膨胀情况,且对经济增速的预示作用强于通货膨胀。Based on the nonlinear STR model, the authors of this paper research the nonlinear relationship between three factors, the yield curves of the whole bond market, inter-bank bond market and exchange bond market. It＇s found that there is a nonlinear relationship between the interest-rate term structure of the whole market and the future economic growth; compared with the exchange bond market, the inter-bank bond market shows a more significant nonlinear relationship with the macroeconomic variables; the yield curve of inter-bank fixed-rate government bond has a better ability to predict future changes in economic growth and inflation than that of the Chinese fixed-rate government bond, and it predicts the economic growth rate better than the inflation.

关 键 词：银行间债券市场 交易所债券市场 利率期限结构 通货膨胀 非线性STR模型 

分 类 号：F832.51[经济管理—金融学]