利率期限结构理论实证检验与期限风险溢价研究  

An Empirical Test of Interest Rate Term Structure and Research of Term Premium

作　　者：朱世武[1] 陈健恒[1] 

机构地区：[1]清华大学经济管理学院,北京100084

出　　处：《金融研究》2004年第5期78-88,共11页Journal of Financial Research

基　　金：本文为国家社会科学基金资助项目(02BJY132)国家自然科学基金资助项目(70273016)。

摘　　要：利率期限结构反映了利率与到期期限之间的关系。国外的研究者对影响利率期限结构的因素十分关注,并提出了许多利率期限结构的理论。本文利用中国银行间债券回购数据对期限结构理论进行了实证检验,从而否定了合理预期理论。投资者所要求的随时间变化的期限风险溢价才是影响期限结构的重要因素。本文应用GARCH-M模型对期限风险溢价进行了预测。The term structure reflects the relationship between interest rate and duration. The foreign researchers focused on the factors affecting the term structure and put forward many term structure theories. This paper utilizes the bond repurchase interest rate date to test these theories. According to the test result, the paper rejects the Rational Expectation Hypothesis and points out that the time - varying term premium required by investors should be the most important factor affecting the term structure. At last, this paper forecasts the time - varying term premium by the GARCH-M model.

关 键 词：利率期限结构 合理预期理论 期限风险溢价 GARCH—M模型 

分 类 号：F832[经济管理—金融学]