人口学特征与利率期限结构:老年社会平缓的收益率曲线  

Demographics and the Term Structure of Interest Rates:The Flat Yield Curve of an Elderly Society

作　　者：李雪[1] 朱超[1] 易祯[1] LI Xue;ZHU Chao;YI Zhen(School of Finance,Capital University of Economics and Business)

机构地区：[1]首都经济贸易大学金融学院,北京100070

出　　处：《金融研究》2020年第6期96-113,共18页Journal of Financial Research

基　　金：国家社会科学基金青年项目“供给侧价格粘性与货币政策传导机制阻滞研究”(16CJL016)资助。

摘　　要：本文将刻画人口结构的生命周期模型引入消费-资本资产定价模型,考察人口结构对利率期限结构的影响。模型表明,人口结构及其家庭生命周期特征不仅决定利率水平,而且将通过人对债券期限的不同偏好,影响利率期限结构。少年人口占比对利率期限结构的影响为正,中年和老年人口占比的影响为负。相比少年人口,中老年人口更偏好长期债券,使长期收益率下降,期限结构的斜率更为平缓。基于全球数据的经验研究验证了这一结论。少年人口占比增加期限利差,中老年人口占比则起反向作用。因此,在年长的经济体中,期限利差更小,呈现更平缓的收益率曲线特征。在更换人口结构变量、期限利差变量、估计方法、赋权样本和处理遗漏变量后,结果表现稳健。本文从人口学视角拓宽了利率期限结构的决定因素,揭示了老年经济体可能面临一个平缓的收益率曲线,而这说明老龄化还可能通过抑制短期投机和促进长期投资来提高长期经济发展质量。The slope of the yield curve is an important predictor of future economic activity. A flatter or inverted term spread often predicts low future output growth and a high probability of a recession. As an important economic signal and pricing benchmark for financial markets, the term structure of interest rates also affects investment decisions. We use demographics to study the dynamics of the yield curve. First, we discuss theoretically the channel of influence of the demographic structure. Next, we build a life-cycle model by introducing the consumption-capital asset pricing model(C-CAPM) to capture the dynamics of the yield curve. The life-cycle model allows us to capture the demographic structure and provides a general equilibrium basis for our analysis. Our model reveals that the population structure affects the term structure of interest rates because of changes in savings over the life cycle, making demographics an important determinant of the yield curve. By influencing bond yields, the population structure has an impact on the yield curve. A young population prefers short-term bonds, which has a positive impact on the term structure of interest rates. Both middle-aged and elderly populations prefer long-term bonds, pushing down the long-term yields. Consequently, the slope of the term structure flattens with the age of the population. The empirical evidence supports the predictions of our model. We obtain demographic data from the Health Nutrition and Population Statistics database of the World Bank and yield rate data from the International Financial Statistics database of the International Monetary Fund and the Wind database. Data on GDP, inflation and other economic variables come from the World Development Indicators dataset of the World Bank. Our sample includes 58 years of annual data from 194 countries or regions. We find that the term spread increases with the proportion of youth in an economy and that the proportions of middle-aged and elderly individuals have the opposite effect. The term spread

关 键 词：利率期限结构 生命周期理论 人口结构 

分 类 号：C92[社会学—人口学]