宏观经济与利率之间关系的斯文森分析  

On Svenson′s Analysis of Relationship between Macroeconomy and Interest Rate

作　　者：李露[1] LI Lu(Division of Personnel and Party Affairs,Hunan Urban Construction College,Xiangtan Hunan 411101,China)

机构地区：[1]湖南城建职业技术学院组织人事处,湖南湘潭411101

出　　处：《西南师范大学学报（自然科学版）》2020年第5期87-92,共6页Journal of Southwest China Normal University(Natural Science Edition)

基　　金：湖南省教育厅2017年科学研究项目(17c0287).

摘　　要：斯文森模型对Nelson利率模型进行了改进,从而可以适应更加复杂的利率变化情况.斯文森模型中的关键参数分别代表着长期利率、短期利率和中期利率.在宏观经济和利率之间关系的实证研究中,选取国民生产总值GDP、消费价格指数CPI、广义货币量M2作为宏观经济的表征变量,选取一年定期存款利率I作为利率的表征变量,选取2000-2017年间的相关数据展开实证研究.结果表明:国民生产总值GDP和广义货币量M2是短期和中期利率的格兰杰原因,而长期利率则可以作为调控广义货币量M2的有效工具.Swenson′s model can be used to improve Nelson′s interest rate model so as to adapt to more complex changes in interest rates. The key parameters in Swenson model represent long-term interest rate, short-term interest rate and medium-term interest rate respectively. In the empirical study of the relationship between macro-economy and interest rate, GDP, CPI and M2 have been selected as the macro-economy indicators, and one-year fixed deposit interest rate I been selected as the indicators of interest rate. The relevant data from 2000 to 2017 have been selected to carry out empirical research. The empirical results show that GDP and M2 are the Granger causes of short-term and medium-term interest rates, while long-term interest rates can be used as effective tools to regulate M2.

关 键 词：斯文森模型 利率 GDP CPI M2 

分 类 号：F015[经济管理—政治经济学]