基准收益率曲线与宏观经济:基于混频DSGE模型的研究  

The Benchmark Yield Curve and Macroeconomy:A Mixed Frequency Monetary DSGE Model

作　　者：尚玉皇[1] 郑挺国 王红梅 SHANG Yuhuang;ZHENG Tingguo(Southwestern University of Finance and Economics;Xiamen University)

机构地区：[1]西南财经大学中国金融研究中心,611130 [2]厦门大学经济学院统计系,361005 [3]不详

出　　处：《经济研究》2018年第6期36-51,共16页Economic Research Journal

基　　金：本文受国家自然科学基金青年项目(71701165)、国家自然科学基金面上项目(71371160)、长江学者奖励计划青年学者项目(Q2016131)、西南财经大学一流学科项目“经济结构转型中金融风险与金融安全研究”、“研究阐释党的十九大精神”国家社科基金专项(18VSJ073)资助。

摘　　要：中国利率市场化的进程中,如何充分揭示基准收益率(利率)与宏观经济的相互作用机制是当前金融实践所面临的严峻挑战。为此,本文提出引入利率期限结构信息的混频DSGE模型并基于中国宏观经济展开讨论。研究结果表明:引入国债收益率曲线的混频模型能够识别中国宏观经济的不确定性均衡现象并显著提高宏观经济分析的时效性;国债收益率作为基准收益率曲线可以合理解释中国货币政策不稳定行为的作用机制;基于前瞻性货币政策规则、BK产出缺口的稳健性检验证实了上述研究结论的可靠性,进一步说明以国债作为基准收益率能够揭示中国宏观经济运行机制,契合中国金融发展的实践过程。The Chinese bond market has developed greatly in recent years.The Chinese bond market is the primary platform for the central bank s monetary policy operation and improves the efficiency of monetary policy transmission.Consequently,it is necessary to introduce Chinese bond information into macroeconomic models.It is well known that monetary policy cannot be implemented without marketing the benchmark interest rate or yield curve.Although the Shanghai Interbank Offered Rate(SHIBOR)partially plays the rule of the benchmark interest rate in monetary markets,it cannot reflect the real transaction behavior of financial assets and has little effect on monetary policy transmission.SHIBOR cannot provide long-term rate information because it lacks a corresponding trade category.Research suggests that Chinese government bonds have the properties of a benchmark interest rate.Furthermore,the Statistics and Analysis Department of the People s Bank of China has pointed out that a benchmark yield curve composed of government bonds improves monetary policy transmission.Many studies use reduced form models(e.g.,the VAR model)to investigate the relationship between Chinese macroeconomic variables and the interest rate term structure.Some studies are beginning to combine interest rate term structures with DSGE models to analyze the macroeconomic environment.However,these studies are limited by low frequency data information.DSGE models that use low frequency observations may produce biased parameter estimates and cannot make estimates or predictions of varying timescales.If we use high frequency data,then the problem is solved.The main challenge to using high frequency data is determining how to directly introduce high frequency term structure information to specify a mixed frequency DSGE model.To do this,this paper proposes a mixed frequency model with term structure information built on the framework of a new Keynesian macroeconomic model.First,we build a mixed frequency model with term structure information and perform parameter

关 键 词：基准利率 期限结构 混频数据 DSGE模型 

分 类 号：F124[经济管理—世界经济] F812.5