我国国债收益率波动及影响因素研究  

Study on National Debt Yield Fluctuation and Influencing Factors

作　　者：张奇松 王雪标[1,2] 

机构地区：[1]东北财经大学经济学院 [2]大连东软信息学院

出　　处：《价格理论与实践》2018年第8期131-134,共4页Price:Theory & Practice

基　　金：国家自然科学基金项目《我国通胀预期和风险溢价与宏观因子作用机制的计量研究》,项目编号:71273044;辽宁省社会科学规划基金项目《技术并购对企业创新能力的影响及经济后果研究》,项目编号:L17CG004;东北财经大学科研重点研究基地项目《我国通胀预期不确定性与通胀溢价和货币政策的影响关系研究》,项目编号:2014029经费支持

摘　　要：国债收益率的高低，既影响国家宏观调控，又关系到国家宏观经济的整体运行。本文通过梳理2006年以来我国国债收益率的发展现状及特点，以2006-2017年国债收益率的年度数据为基础，利用向量自回归（VAR）模型实证分析国内生产总值、财政赤字规模和信贷规模对我国国债收益率的影响。结果表明：短期内我国国内生产总值对我国国债收益率影响较大，而长期趋于正面影响，且影响稳定；财政赤字规模和信贷规模均对我国国债收益率有正面效应，尤其财政赤字影响较大。Whether the yield of national debt is moderate,that is, whether it affects the macro-control of the state is also related to the overall operation of the country＇s macro-economy. This paper first sorts out the development status and characteristics of the yield of Chinese government bonds since 2006, Then, based on the annual data of bond yields from 2007 to 2016, uses the vector auto repression （VAR） model to analyze the factors affecting the yield of China＇s government bonds： the scale of fiscal deficit and the size of credit. The results show that both the scale of fiscal deficit and the size of credit have a positive effect on the yield of China＇s government bonds, especially the impact of credit scale. Finally, this article put forward the corresponding policy recommendations that enhancing the scientific nature and rationality of monetary policy, perfecting the Treasury market monitoring mechanism, setting up a bond fund and adjust the short and long-term debt ratio.

关 键 词：国债收益率 国内生产总值 财政赤字规模 信贷规模 

分 类 号：F812.5[经济管理—财政学]