基于主成分分析我国利率期限结构及其影响因素  

Term Structure of Interest Rate in China and Its Influencing Factors Based on Principal Component Analysis

作　　者：刘稳稳 LIU Wen-wen

机构地区：[1]贵州大学经济学院,贵阳550025

出　　处：《经济研究导刊》2022年第26期74-77,共4页Economic Research Guide

摘　　要：上海银行间同业拆放利率(SHIBOR)作为我国基准利率,自运行以来不断发展完善。以其为研究对象,通过主成分分析提取出3个可反映利率期限结构变动96%以上变动的特征要素,即“水平”、“倾斜”及“曲度”因素;另加入宏观经济变量,利用结构向量自回归(SVAR)模型,发现实体经济因素的冲击主要导致利率期限结构水平变动及倾斜变动,货币政策冲击对利率期限结构曲度变动有一定影响。Shanghai interbank offered rate(SHIBOR),as China’s benchmark interest rate,has been continuously developed and improved since its operation.Taking it as the research object,through principal component analysis,we extract three characteristic elements that can reflect more than 96%of the change in the term structure of interest rates,namely,“horizontal”,“inclined”and“curved”factors;in addition,macroeconomic variables are added,and structural vector autoregression(SVAR)model is used.It is found that the impact of real economic factors mainly leads to the horizontal and inclined changes of the term structure of interest rates,and the impact of monetary policy has a certain impact on the curvature of the term structure of interest rates.

关 键 词：主成分分析 利率期限结构 结构向量自回归 影响因素 

分 类 号：F832.0[经济管理—金融学]