本文關(guān)鍵詞： 利率期限結(jié)構(gòu) 貨幣政策 宏觀經(jīng)濟(jì) 通貨膨脹　出處：《西南財(cái)經(jīng)大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：利率期限結(jié)構(gòu)與宏觀經(jīng)濟(jì)、貨幣政策的關(guān)系一直是金融學(xué)研究的重要領(lǐng)域,但是我國國債市場起步較晚,發(fā)展過程曲折,嚴(yán)重制約利率期限結(jié)構(gòu)在貨幣政策實(shí)施與宏觀經(jīng)濟(jì)觀測方面的作用。近年來,我國國債市場快速發(fā)展,市場規(guī)模逐漸增大,且國債市場流通性逐漸增強(qiáng)與政府公開市場操作日益頻繁,使國債利率期限結(jié)構(gòu)與宏觀經(jīng)濟(jì)、貨幣政策之間的關(guān)聯(lián)性逐漸增強(qiáng),此時(shí)對其研究具有十分重要的現(xiàn)實(shí)意義。 在一些金融市場比較成熟的國家,利率期限結(jié)構(gòu)是制定貨幣政策和宏觀經(jīng)濟(jì)變動(dòng)預(yù)測的重要工具。這些國家的利率都具有市場化特征,利率期限結(jié)構(gòu)與經(jīng)濟(jì)增長及通貨膨脹之間存在著穩(wěn)定的關(guān)系,通過他們之間的關(guān)聯(lián)性分析,利率期限結(jié)構(gòu)可以作為領(lǐng)先指標(biāo),預(yù)測未來時(shí)期宏觀經(jīng)濟(jì)變量的變動(dòng)。央行在制定貨幣政策時(shí),可以通過利率期限結(jié)構(gòu)的變動(dòng)趨勢,判斷未來宏觀經(jīng)濟(jì)走勢,進(jìn)而將其作為輔助的先行指標(biāo),提高央行對宏觀經(jīng)濟(jì)的預(yù)測能力,增強(qiáng)其貨幣政策制定的合理性。 由于我國發(fā)行的大多是附息國債,利率期限結(jié)構(gòu)不能用到期收益率表示,而需要采用合理的模型進(jìn)行擬合估計(jì)。因此,本文主要圍繞利率期限結(jié)構(gòu)擬合估計(jì)和利率期限結(jié)構(gòu)與宏觀經(jīng)濟(jì)、貨幣政策的關(guān)系兩個(gè)方面進(jìn)行研究,具體內(nèi)容分為五章。 第一章是緒論。首先,介紹本文的選題背景和研究意義；其次,相關(guān)文獻(xiàn)綜述,分為利率期限結(jié)構(gòu)模型擬合效果和利率期限結(jié)構(gòu)在貨幣政策、宏觀經(jīng)濟(jì)方面的應(yīng)用兩部分。 第二章是利率期限結(jié)構(gòu)及應(yīng)用的理論基礎(chǔ)。首先,介紹了利率期限結(jié)構(gòu)的三種理論：市場預(yù)期理論、市場分割理論和流動(dòng)性偏好理論。其次,介紹了利率期限結(jié)構(gòu)和貨幣政策、宏觀經(jīng)濟(jì)、通貨膨脹關(guān)系的理論基礎(chǔ)。為下文利率期限結(jié)構(gòu)估計(jì)及應(yīng)用分析奠定理論基礎(chǔ)。 第三章是利率期限結(jié)構(gòu)模型擬合估計(jì)效果。本章采用樣條法擬合國債利率期限結(jié)構(gòu),然后采用主成分分析方法,分析我國國債利率期限結(jié)構(gòu)是否受系統(tǒng)性、非系統(tǒng)性因素的影響。最后對擬合出的利率期限結(jié)構(gòu)時(shí)序數(shù)據(jù)、宏觀經(jīng)濟(jì)景氣指數(shù)與貨幣政策實(shí)施進(jìn)行描述性分析,初步判斷之間是否具有關(guān)聯(lián)性。 第四章是利率期限結(jié)構(gòu)應(yīng)用研究。本章主要從貨幣政策傳導(dǎo)機(jī)制理論入手,實(shí)證出利率期限結(jié)構(gòu)包含貨幣政策信息、經(jīng)濟(jì)波動(dòng)信息和通貨膨脹信息,說明國債利率期限結(jié)構(gòu)的基準(zhǔn)利率作用。 第五章是相關(guān)的結(jié)論和政策建議。 按照上述研究思路,本文得出的結(jié)論主要包括以下幾個(gè)方面。 (1)選取2011年6月30日上海證券交易所的國債數(shù)據(jù)進(jìn)行實(shí)證分析,得到了擬合價(jià)格與實(shí)際價(jià)格差距的均方誤差、貼現(xiàn)率與利率期限結(jié)構(gòu)曲線。通過均方誤差分析,得出擬合價(jià)格與實(shí)際價(jià)格之間差距較小,即擬合價(jià)格比較精確反映了國債實(shí)際價(jià)格的結(jié)論；通過貼現(xiàn)率分析,貼現(xiàn)率表現(xiàn)出期限越短,貼現(xiàn)率越大的特征,表明貼現(xiàn)函數(shù)符合貼現(xiàn)的相關(guān)理論；擬合出的利率期限結(jié)構(gòu)曲線向右上方傾斜,即期限越長,即期利率越大,這一特征也符合利率期限結(jié)構(gòu)流動(dòng)性理論。以上分析結(jié)果表明,樣條法適合用來擬合我國國債利率期限結(jié)構(gòu)。 (2)采用樣條法擬合出2006年1月到2011年6月國債交易的每月最后一天的數(shù)據(jù),并描述了這段時(shí)間我國國債市場利率期限結(jié)構(gòu)的變化特征。將利率期限結(jié)構(gòu)與央行政策實(shí)施、宏觀經(jīng)濟(jì)波動(dòng)的動(dòng)態(tài)特征的比較,結(jié)果表明,利率期限結(jié)構(gòu)波動(dòng)較大的時(shí)期,央行貨幣政策操作較為頻繁,宏觀經(jīng)濟(jì)波動(dòng)性也較大,從而可以初步判斷國債利率期限結(jié)構(gòu)與貨幣政策實(shí)施、宏觀經(jīng)濟(jì)波動(dòng)存在某種關(guān)聯(lián)性。 (3)利率期限結(jié)構(gòu)的主成分分析,主要是為驗(yàn)證我國利率期限結(jié)構(gòu)是否滿足三個(gè)主成分特征,文中采用6個(gè)月、1-7年、10年、15年與20年這11個(gè)主干利率來做主成分分析。結(jié)果表明,我國國債市場符合三個(gè)主成分特征,且第一個(gè)主成分受不同期限的影響一致,即表現(xiàn)出水平特征；第二個(gè)主成分短期國債的影響為正,長期國債的影響為負(fù),即表現(xiàn)出向下傾斜特征；第三個(gè)主成分受不同期限影響表現(xiàn)出先減弱后又增強(qiáng)的曲度特征。以上分析結(jié)果表明,我國國債利率期限結(jié)構(gòu)完全符合相關(guān)特征,即我國國債市場利率期限結(jié)構(gòu)的確受一些系統(tǒng)性、非系統(tǒng)性因素的影響。 (4)首先,協(xié)整檢驗(yàn)與誤差修正模型表明,利率期限結(jié)構(gòu)與貨幣供應(yīng)量M2之間存在穩(wěn)定的關(guān)系。其次,國債利率期限結(jié)構(gòu)對貨幣供應(yīng)量M2的脈沖響應(yīng)也明顯。最后,國債利率期限結(jié)構(gòu)對貨幣供應(yīng)量M2的方差貢獻(xiàn)率維持在20%左右。以上分析結(jié)論表明,利率期限結(jié)構(gòu)包含貨幣政策信息,能夠發(fā)揮貨幣政策實(shí)施時(shí)的傳導(dǎo)作用。 (5)首先,協(xié)整檢驗(yàn)與誤差修正模型表明,利率期限結(jié)構(gòu)與宏觀經(jīng)濟(jì)景氣指數(shù)之間存在穩(wěn)定的關(guān)系。其次,國債利率期限結(jié)構(gòu)對宏觀經(jīng)濟(jì)景氣指數(shù)的脈沖響應(yīng)明顯,而宏觀經(jīng)濟(jì)景氣指數(shù)對利率期限結(jié)構(gòu)的沖擊效應(yīng)弱一些。最后,利率期限結(jié)構(gòu)對宏觀經(jīng)濟(jì)景氣指數(shù)的方差貢獻(xiàn)度隨著時(shí)期后推而逐漸增大,滯后六期的方差貢獻(xiàn)率達(dá)到30%左右。以上分析結(jié)論表明,利率期限結(jié)構(gòu)在對宏觀經(jīng)濟(jì)的傳導(dǎo)中具有有效性,因此利率期限結(jié)構(gòu)可以作為觀測宏觀經(jīng)濟(jì)變動(dòng)趨勢一種輔助工具。 (6)首先,協(xié)整檢驗(yàn)與誤差修正模型表明,利率期限結(jié)構(gòu)與反映需求引起的通貨膨脹CPI之間存在穩(wěn)定的關(guān)系。其次,國債利率期限結(jié)構(gòu)對CPI的脈沖響應(yīng)明顯,而CPI對利率期限結(jié)構(gòu)脈沖要弱一些。最后,利率期限結(jié)構(gòu)對CPI的方差貢獻(xiàn)度在逐漸增大,說明利率期限結(jié)構(gòu)在對通貨膨脹的傳導(dǎo)中具有一定有效性；但是,方差貢獻(xiàn)率在5%左右,說明利率期限結(jié)構(gòu)在對通貨膨脹的解釋能力較弱。因此利率期限結(jié)構(gòu)對通貨膨脹的監(jiān)測沒有對宏觀經(jīng)濟(jì)變動(dòng)監(jiān)測的效果好。 雖然研究利率期限結(jié)構(gòu)的相關(guān)文獻(xiàn)較多,但是本文具有自己的研究特色,可以概述為以下幾點(diǎn)。 (1)利率期限結(jié)構(gòu)擬合估計(jì)模型的選擇 利率期限結(jié)構(gòu)的擬合模型主要包括靜態(tài)模型與動(dòng)態(tài)模型,靜態(tài)模型依據(jù)擬合價(jià)格與實(shí)際價(jià)格差距最小化原理,采用樣條逼近的擬合方法,避免了動(dòng)態(tài)模型的假定條件限制,在擬合利率期限結(jié)構(gòu)方面具有優(yōu)勢。 (2)利率期限結(jié)構(gòu)擬合曲線的動(dòng)態(tài)特征分析 采用描述性統(tǒng)計(jì)分析方法分別描述利率期限結(jié)構(gòu)、宏觀經(jīng)濟(jì)波動(dòng)與央行貨幣政策實(shí)施的動(dòng)態(tài)變動(dòng)趨勢,從而探索三者之間的關(guān)聯(lián)性；并采用主成分分析法,研究不同剩余期限的即期利率變動(dòng)的主成分特征。 (3)利率期限結(jié)構(gòu)應(yīng)用研究角度的選擇 利率期限結(jié)構(gòu)與宏觀經(jīng)濟(jì)、貨幣政策關(guān)系的研究,是近年來研究的熱點(diǎn),但大部分文獻(xiàn)都在研究三者之間是否存在動(dòng)態(tài)關(guān)聯(lián)性,而對于傳導(dǎo)機(jī)制方面研究甚少。本文以貨幣政策傳導(dǎo)機(jī)制為依據(jù),探索國債利率期限結(jié)構(gòu)是否適合充當(dāng)貨幣政策傳導(dǎo)的基準(zhǔn)利率,在傳導(dǎo)中是否具有有效性。
[Abstract]:The relationship between interest rate term structure and macro - economy and monetary policy has always been an important area of financial research , but our country ' s national debt market is starting late , the development process is tortuous , and the structure of interest rate is severely restricted in the implementation of monetary policy and macro - economic observation . In recent years , our country ' s national debt market has developed rapidly , the market size has gradually increased , and the relationship between the maturity structure of government bonds and the macro - economy and monetary policy is gradually strengthened . At this time , it has very important practical significance to its research . In some countries with relatively mature financial markets , interest rate term structure is an important tool for formulating monetary policy and macro - economic change forecast . The interest rate of these countries has a stable relationship with economic growth and inflation . Through the correlation analysis between them , the structure of interest rate term can be used as the leading indicator to predict the fluctuation of macroeconomic variables in the future . Since most of our country ' s issues are attached treasury bonds , the interest rate term structure cannot be represented by the maturity yield , but the reasonable model can be used for fitting estimation . Therefore , this paper mainly studies the relationship between the interest rate term structure fitting estimation and the interest rate term structure and the macro - economy and monetary policy , and the specific contents are divided into five chapters . The first chapter is introduction . Firstly , the background and significance of the thesis are introduced . Secondly , the related literature review is divided into two parts : the interest rate term structure model fitting effect and the interest rate term structure in monetary policy and macro - economy . The second chapter introduces three theories of interest rate term structure : market expectation theory , market segmentation theory and liquidity preference theory . Secondly , it introduces the theory foundation of interest rate term structure and monetary policy , macro - economy and inflation relationship . The third chapter is the fitting estimation effect of the interest rate term structure model . This chapter adopts the spline method to fit the interest rate term structure , then uses the principal component analysis method to analyze whether the structure of the interest rate term structure is influenced by the systematic and non - systematic factors . The fourth chapter is the application research of interest rate term structure . This chapter starts with the theory of monetary policy transmission mechanism , and shows that the structure of interest rate term includes monetary policy information , economic fluctuation information and inflation information , and illustrates the benchmark interest rate function of interest rate term structure . Chapter V is relevant conclusions and policy recommendations . According to the above research thinking , the conclusion is mainly composed of the following aspects . ( 1 ) Based on the empirical analysis of the national debt data of the Shanghai Stock Exchange on June 30 , 2011 , the mean square error , discount rate and interest rate term structure curve of the fit price and the actual price difference are obtained . ( 2 ) Using the spline method to fit the data of the last day of the treasury bonds transaction from January 2006 to June 2011 , and describe the change characteristics of the period structure of the interest rate in China ' s national debt market during the period . The results show that the central bank ' s monetary policy operation is more frequent and the macro - economic volatility is relatively large during the period when the structure of interest rate period is large , and the macro - economic fluctuation has some relevance . ( 3 ) The principal component analysis of interest rate term structure is mainly to verify whether the structure of interest rate of our country meets three principal component characteristics . The results show that China ' s national debt market conforms to three principal component characteristics , and the first principal component is influenced by different periods . ( 4 ) First , the co - integration inspection and error correction model shows that there is a stable relationship between the interest rate term structure and the money supply quantity M2 . Secondly , the interest rate term structure of the treasury bonds is obviously the impulse response of the money supply M2 . Finally , the interest rate term structure of the Treasury bonds to the variance contribution rate of the money supply M2 is maintained at about 20 % . The above analysis conclusion shows that the interest rate term structure contains monetary policy information and can play a role in the implementation of monetary policy . ( 5 ) First , the co - integration test and error correction model show that there is a stable relationship between the structure of interest rate term and the economic prosperity index . Secondly , the impact of the structure of interest rate term on the economic prosperity index is weak . Finally , the structure of interest rate is more effective in the variance contribution rate of the macro - economic prosperity index . The above analysis conclusion shows that the rate term structure has validity in the conduct of macro - economy . Therefore , the structure of interest rate term can be regarded as an auxiliary tool to observe the trend of macro - economy . ( 6 ) First , the co - integration test and error correction model show that there is a stable relationship between the structure of interest rate term and the inflation CPI , which reflects the demand . Secondly , the structure of interest rate term has obvious effect on CPI . Although the study of interest rate term structure has many related documents , this paper has its own research characteristics , which can be summarized as the following points . ( 1 ) Selection of Interest Rate Term Structure Fit Estimation Model The fitting model of interest rate term structure mainly includes a static model and a dynamic model , and the static model is based on the principle of minimizing the gap between the fitting price and the actual price difference . By using the fitting method of the spline approximation , the assumption condition limitation of the dynamic model is avoided , and the method has the advantages of fitting the interest rate term structure . ( 2 ) Dynamic Characteristic Analysis of the Fitting Curve of Interest Rate Term Structure Descriptive statistical analysis method is used to describe the dynamic change tendency of interest rate term structure , macro - economic fluctuation and central bank ' s monetary policy , so as to explore the relationship among them . ( 3 ) Selection of Interest Rate Term Structure Applied Research Angle The research on the relationship between the interest rate term structure and the macro - economy and monetary policy is the hot spot in recent years , but most of the literatures have little research on the conduction mechanism .

【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F812.5;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 林海,鄭振龍;中國利率動(dòng)態(tài)模型研究[J];財(cái)經(jīng)問題研究;2005年09期

2 范龍振;上交所債券利率期限結(jié)構(gòu)與兩因子Vasicek模型[J];復(fù)旦學(xué)報(bào)(自然科學(xué)版);2003年05期

3 王曉芳,劉鳳根,韓龍;基于三次樣條函數(shù)的中國國債利率期限結(jié)構(gòu)曲線構(gòu)造[J];系統(tǒng)工程;2005年06期

4 朱波;文興易;;利率期限結(jié)構(gòu)宏觀金融模型研究新進(jìn)展[J];經(jīng)濟(jì)學(xué)動(dòng)態(tài);2010年07期

5 郭濤;宋德勇;;中國利率期限結(jié)構(gòu)的貨幣政策含義[J];經(jīng)濟(jì)研究;2008年03期

6 朱世武,陳健恒;交易所國債利率期限結(jié)構(gòu)實(shí)證研究[J];金融研究;2003年10期

7 唐革榕,朱峰;我國國債收益率曲線變動(dòng)模式及組合投資策略研究[J];金融研究;2003年11期

8 謝赤,鐘羽;關(guān)于制度轉(zhuǎn)換Vasicek利率期限結(jié)構(gòu)模型[J];科學(xué)技術(shù)與工程;2004年09期

9 石柱鮮;孫皓;鄧創(chuàng);;中國主要宏觀經(jīng)濟(jì)變量與利率期限結(jié)構(gòu)的關(guān)系:基于VAR-ATSM模型的分析[J];世界經(jīng)濟(jì);2008年03期

10 周榮喜;王曉光;谷成;楊永愉;;基于不同核函數(shù)的非參數(shù)與參數(shù)利率模型的國債定價(jià)[J];數(shù)理統(tǒng)計(jì)與管理;2011年01期

相關(guān)博士學(xué)位論文 前7條

1 林海;中國利率期限結(jié)構(gòu)及應(yīng)用研究[D];廈門大學(xué);2003年

2 陳暉;利率期限結(jié)構(gòu)的最優(yōu)估計(jì)及其應(yīng)用研究[D];湖南大學(xué);2006年

3 唐革榕;我國利率期限結(jié)構(gòu)的靜態(tài)擬合實(shí)證研究[D];廈門大學(xué);2006年

4 夏瀠焱;中國利率期限結(jié)構(gòu)的實(shí)證研究[D];西南財(cái)經(jīng)大學(xué);2008年

5 馬慶魁;我國貨幣市場利率期限結(jié)構(gòu)及其與宏觀經(jīng)濟(jì)關(guān)聯(lián)性研究[D];吉林大學(xué);2009年

6 謝子遠(yuǎn);我國國債宏觀經(jīng)濟(jì)效應(yīng)的實(shí)證研究[D];浙江大學(xué);2007年

7 李熠熠;利率期限結(jié)構(gòu)的靜態(tài)建模與參數(shù)估計(jì)[D];中國科學(xué)技術(shù)大學(xué);2009年

相關(guān)碩士學(xué)位論文 前1條

1 孫黎黎;貨幣政策對國債收益率曲線影響的實(shí)證研究[D];對外經(jīng)濟(jì)貿(mào)易大學(xué);2006年

，

本文編號：1486028