美国非预期货币政策会影响我国的利率期限结构吗?  

Will American Unanticipated Monetary Policy Affect China’s Interest Rate Term Structure?

作　　者：张夏[1] 汪亚楠 金泽成 ZHANG Xia;WANG Yanan;JIN Zecheng(School of Economics and Management, Southwest University;School of Economics and Trade, South China University of Technology;Financial Research Institute,PBOC)

机构地区：[1]西南大学经济管理学院,重庆400715 [2]华南理工大学经济与贸易学院,广东510006 [3]中国人民银行金融研究所,北京100800

出　　处：《当代金融研究》2019年第3期42-54,共13页Journal of Contemporary Financial Research

基　　金：国家自然科学基金面上项目“互联网、搜寻匹配与中国企业贸易行为”(71773056);中央高校基本科研业务费项目“事实汇率制度与出口贸易”(SWU1809702);中国博士后科学基金项目“基于全面开放新格局视角下的财政与金融关系研究”(2018M641576);广州市哲学社科规划2019年度课题“逆全球化背景下广东出口贸易转型的短板识别及推进路径”(2019GZGJ10)

摘　　要：本文通过Bloomberg与Wind相关日频数据,利用主成分分析的方法,提取了我国银行间市场与国债债券市场的利率期限结构截距因子、斜率因子与曲率因子。在此基础上,该文研究了美国非预期货币政策冲击对我国利率期限结构的外溢作用。研究结果表明,该外溢作用显著存在,它扭曲了我国银行间市场与债券市场的利率期限结构,会导致我国利率期限结构“倒挂”,提高短期利率水平,压低长期利率水平,进而加剧我国金融市场中系统性风险集聚。This paper uses the daily data from Bloomberg and Wind and with the method of principal component analysis, it calculates the interest rate term structure of China and further extracts its factor of intercept, slope and curvature. Based on these results, this paper studies the spillover effects the American unanticipated monetary policy innovation has on China’s interest rate term structure. The results show that the spillover effects are evident and China’s interest rate term structure is twisted and flattened because of the American unanticipated monetary policy,leading to the accumulation of financial systematic risk in China.

关 键 词：利率期限结构 非预期货币政策 主成分分析 

分 类 号：F831.5[经济管理—金融学]