中国国债收益率曲线的混频周期机制研究——基于区制转移混频期限结构模型  

Research on the Mixed-Frequency Cyclical Mechanism of the Chinese Government Bond Yield Curve--Based on a Regime-Switching Mixed-Frequency Term Structure Model

作　　者：尚玉皇[1] 季朗磊 SHANG Yu-huang;JI Lang-lei(Institute for China Financial Research,Southwest University of Finance and Economics,Chengdu 611130,China;Zhejiang Zheshang Financial Holdings Co.,Ltd.Hangzhou 200433,)

机构地区：[1]西南财经大学中国金融研究院,四川成都611130 [2]浙江浙商金控有限公司,浙江杭州200433

出　　处：《兰州财经大学学报》2024年第3期1-17,共17页Journal of Lanzhou University of Finance and Economics

基　　金：教育部人文社科重点研究基地重大项目“数字金融与金融安全问题研究”(22JJD790069)。

摘　　要：文章在混频数据信息的现实条件下,为充分揭示我国国债收益率曲线的混频周期(非线性)特征及其与宏观经济的作用机制,提出了一种新的区制转移混频Nelson-Siegel期限结构(MS-MF-NS)模型。研究结果表明:与传统混频模型相比,MS-MF-NS模型因恰当引入经济周期行为而进一步提高了国债收益率的拟合效果;利率期限结构具有显著的周期行为特征,该特征受到期限结构斜率因子的逆经济周期行为的影响;在考虑经济周期因素后,斜率因子对宏观经济预测提供更多的前瞻性信息,基于通胀预期机制斜率因子对通货膨胀的预测作用也会显著增强;在非线性模型框架下,因合理刻画宏观经济对国债收益率作用机制的周期性差异,使得宏观基本面对收益率曲线及期限结构因子的贡献更加显著。货币政策调控需要考虑期限结构的非线性作用机制,基于统筹发展与安全的思想理念适度微调,同时需要关注货币政策跨周期和逆周期调节对期限结构的反馈效应。Under the realistic condition of mixed-frequence data information,this paper introduces a new Regime-Switching Mixed-Frequency Nelson-Siegel Term Structure(MS-MF-NS)model to effectively capture the mixed-frequency cycle characteristics of Chinese government bond yield curves and their relationship with the macroeconomy.The study reveals that the MS-MF-NS model improves the fitting accuracy of Chinese government bond yields by incorporating economic cycle behavior.The interest rate term structure shows significant cyclical behavior,influenced by the countercyclical nature of the slope factor.Additionally,the slope factor,after accounting for economic cycle factors,offers forward-looking information for macroeconomic predictions,particularly in forecasting inflation based on inflation expectations mechanism.By depicting the cyclical differences in macroeconomic impacting on Chinese government bond yields within a non-linear model framework,the contributions of macroeconomic fundamentals to the yield curve and term structure factors become more evident.Monetary policy adjustments should consider the non-linear effects of term structures and allow for moderate fine-tuning to promote coordinated development and security.Attention should also be given to the feedback effects of monetary policy adjustments across cycles and counter-cycles on the term structure.

关 键 词：期限结构 区制转移 混频数据 经济周期 

分 类 号：F832.5[经济管理—金融学] F123.16