利率期限结构利差因子的传导效应——基于状态空间模型的实证研究  

The Conductive Effect of Interest Rate Term Spread Factor: An Empirical Study Based on State Space Model

作　　者：赫国胜[1] 周琳 He Guosheng;Zhou Lin

机构地区：[1]辽宁大学经济学院

出　　处：《金融理论与实践》2019年第11期24-31,共8页Financial Theory and Practice

基　　金：国家社科基金一般项目(19BJL103)

摘　　要：利率期限结构中状态因子分别代表长期水平、短期斜率和中期曲度,在货币政策传导过程中不同因子表现出的传导效应是不同的。以发展中的利率期限结构理论为基础,运用状态空间模型对动态Nelson Siegel模型中的状态因子进行估计。通过对货币政策传导过程的分段研究,从而得到代表短期斜率项的利差因子β1对货币政策传导效应相比较其他两个状态因子更强的结论,进而说明利差因子β1对货币政策传导的实现更具实践意义。The state factors in the term structure of interest rates are long-term level,short-term slope and medium-term curvature.Different factors show different conduction effects during the transmission of monetary policy.Based on the evolutionary theory of interest rate term structure,this paper estimates the parameter factors in the dynamic interest rate term structure by the spatial state model under the dynamic Nelson Siegel model and obtains the representative through the segmentation study of the monetary policy transmission process.The short-term slope term spread factor is more powerful for the monetary policy transmission effect than the other two state factors,which in turn indicates that the spread factor is more practical for the realization of monetary policy transmission.

关 键 词：利率期限结构 货币政策传导 状态空间模型 动态Nelson Siegel模型 利差因子 

分 类 号：F832.0[经济管理—金融学]