信息噪音、油价波动与收益率曲线——基于石油金融属性视角  

Information Noise,Oil Price Fluctuations,and Bond Yield Curve:A View of Financial Attribute of Oil

作　　者：许磊 袁经发 朱小能[1,2] 刘鹏林 Lei Xu;Jingfa Yuan;Xiaoneng Zhu;Penglin Liu(School of Finance,Shanghai University of Finance and Economics,Shanghai 200433,China;Shanghai Institute of International Finance and Economics,Shanghai 200433,China)

机构地区：[1]上海财经大学金融学院,上海200433 [2]上海国际金融与经济研究院,上海200433

出　　处：《会计与经济研究》2019年第6期73-95,共23页Accounting and Economics Research

基　　金：国家自然科学基金面上项目(71473281);上海财经大学创新团队建设项目(2018110698);上海国际金融与经济研究院创新团队建设项目(2018110262)

摘　　要：国际油价波动会扭曲债券收益率曲线,影响货币政策通过债券收益率曲线进行传导的有效性,因此,研究国际油价对收益率曲线的影响对货币政策传导机制的有效性具有重要意义。文章基于移动平均法,构建了降噪音化的油价趋势因子,考察了信息噪音环境下国际油价对"一带一路"沿线国家国债市场收益率曲线的影响。研究表明,国际油价对"一带一路"沿线国家国债市场具有显著影响,且这种影响对产油国和非产油国而言存在非对称性;国际油价对不同期限债券收益率的影响也存在非对称性。研究为国际油价冲击债券市场提供了有力证据,同时,对进一步完善货币政策传导机制具有一定的启示意义。International oil price fluctuations will distort the bond yield curve and affect the effectiveness of monetary policy transmission through the bond market.Therefore,studying the impact of international oil prices on the bond yield curve is of great significance to the effectiveness of monetary policy transmission mechanism.Based on the moving average method,this paper constructs a noise-reducing oil price trend factor,and investigates the impact of international oil prices on the bond yield curve along the Belt and Road in the information noise environment.Results indicate that international oil prices have significant impact on the bond yield curve along the Belt and Road,and this impact is asymmetric for oil-producing and non-oil-producing countries.There is also an asymmetry in the impact of international oil prices on bond yields of different maturities.This paper provides strong evidence for the impact of international oil prices on bond market,and at the same time,has certain enlightenment for the further improvement of the monetary policy transmission mechanism.

关 键 词：国际油价 信息噪音 收益率曲线 债券市场 

分 类 号：F830.91[经济管理—金融学]