中国国债利率期限结构的宏观经济效应与预测能力研究  

A Study of the Macroeconomic Effect and Predictive Ability of the Term Structure of China’s National Bond Interest Rate

作　　者：孙晨童 党印[3] 苗子清 SUN Chen-tong;DANG Yin;MIAO Zi-qing(Tsinghua University,Beijing 100084;Fareast Credit Rating,Beijing 100007;China University of Labor Relations,Beijing 100048;Oriental Securities,Shanghai 201204,China)

机构地区：[1]清华大学经济管理学院,北京100084 [2]远东资信评估有限公司,北京100007 [3]中国劳动关系学院劳动教育学院,北京100048 [4]东方证券股份有限公司,上海201204

出　　处：《当代财经》2024年第3期56-69,共14页Contemporary Finance and Economics

基　　金：国家社会科学基金重大项目“中央银行的逻辑与现代中央银行制度的建设”(21ZDA045);国家社会科学基金哲学社会科学领军人才项目“多重约束下的中国财政政策、货币政策与汇率政策协调配合研究”(22VRC018);中国博士后科学基金项目“多重不确定性冲击下‘实体经济-金融系统’双层耦合网络的韧性研究:测度方法及提升路径”(2023M742609)。

摘　　要：中国国债收益率曲线与宏观经济指标的关联关系和先行关系是宏观调控和金融市场的共同关注点,其中的非线性和时频特征有待拓展研究。基于2006—2022年国债收益率曲线数据,运用动态NS模型拟合国债利率期限结构的研究发现,国债利率期限结构呈现一定的周期性波动特征,随着到期期限的延长,收益率曲线呈逐渐收敛的趋势。运用分位数向量自回归模型研究不同经济水平下国债利率期限结构对宏观经济指标的非线性影响发现,国债收益率水平因子和斜率因子对产出和通货膨胀的影响主要呈现负向效应,当宏观经济处于不同水平时,这种负向效应存在非线性特征,尤其在高经济增长且高通货膨胀时期影响强度更大。采用小波相位谱方法探究时频维度上国债利率期限结构对宏观经济指标预测能力的动态变化发现,水平因子和斜率因子对产出有较强的预测能力,而对通货膨胀的预测能力在2019年后有所弱化。因此,未来应进一步促进国债市场建设,加强国债收益率期限结构监测,优化财政货币政策协调机制。The correlation and leading relationship between the yield curve of China’s national bonds and the macroeconomic indicators have received widespread attention from macro-control and financial markets,of which the nonlinear and time-frequency characteristics are waiting for extended researches.Based on the yield curve data of the national bonds from 2006 to 2022,this paper employs a dynamic NS model to study the fitting term structure of national bond interest rate.The findings show that the term structure of national bond interest rate presents certain cyclical fluctuation characteristics.With the extension of maturity,the yield curve shows a gradual convergence trend.The quantile vector auto regression model is utilized to study the nonlinear impact of the term structure of the national bond interest rate on the macroeconomic indicators under different economic levels,it is found that the level factor and slope factor of the national bond yield rate mainly have negative effects on output and inflation.When the macro-economy is at different levels,this negative effect has nonlinear characteristics,which is especially greater in the periods of high economic growth and high inflation.The wavelet phase spectrum method is used to explore the dynamic changes of the forecasting ability of the term structure of national bond interest rate to the macroeconomic indicators in the time-frequency dimension.It is found that the horizontal factor and the slope factor have stronger forecasting ability to output,while the forecasting ability to inflation has weakened after 2019.Therefore,in the future,the construction of the national bond market should be promoted,the monitoring of the term structure of the national bond yield rates should be strengthened,and the fiscal and monetary policies should be optimized.

关 键 词：国债收益率 利率期限结构 宏观经济效应 非线性特征 

分 类 号：F832.5[经济管理—金融学]