發(fā)布時(shí)間：2018-03-16 23:11

  本文選題：國(guó)債到期收益率　切入點(diǎn)：面板數(shù)據(jù)　出處：《南開(kāi)大學(xué)》2013年博士論文　論文類型：學(xué)位論文

【摘要】：從2008年的金融海嘯到2011年的歐債危機(jī),再到目前的后QE時(shí)代,均可看出國(guó)債在金融市場(chǎng),乃至于整個(gè)全球經(jīng)濟(jì)都扮演著一個(gè)非常重要的角色。它不僅是反映了一個(gè)國(guó)家的宏觀經(jīng)濟(jì)條件,也反映了一個(gè)國(guó)家的財(cái)政狀況,國(guó)債價(jià)格(到期收益率)更是眾多金融商品的評(píng)價(jià)基礎(chǔ)。另外,金融海嘯后,各國(guó)紛紛透過(guò)寬松貨幣政策引導(dǎo)中長(zhǎng)天期國(guó)債到期收益率下滑,間接刺激民間消費(fèi),降低政府支出與民間企業(yè)借貸成本,使得經(jīng)濟(jì)逐漸復(fù)蘇,有此可見(jiàn),國(guó)債與國(guó)債市場(chǎng)的重要性。而面對(duì)如此重要的金融商品與市場(chǎng),我們應(yīng)該對(duì)它進(jìn)行更深刻的研究與分析。 本文目的在于探討宏觀經(jīng)濟(jì)指標(biāo)與國(guó)債到期收益率間的因果關(guān)系,應(yīng)用時(shí)間序列數(shù)據(jù)進(jìn)行面板數(shù)據(jù)回歸模型實(shí)證分析,找出影響國(guó)債到期收益率波動(dòng)的因素,并進(jìn)一步探討在浮動(dòng)匯率體制及在管理浮動(dòng)匯率體制下,大小開(kāi)放經(jīng)濟(jì)體匯率對(duì)債券到期收益率的影響。本研究以十年期國(guó)債到期收益率(BYR)為因變量,匯率(EXR)、股價(jià)指數(shù)(Stock)、央行基準(zhǔn)利率(CBR)、原油期貨價(jià)格(OP)、 GDP同比(gGDP)、CPI同比(gCPI)為自變量,對(duì)從2001年1月至2012年6月期間內(nèi)共計(jì)1380個(gè)月度資料進(jìn)行了研究和分析。 實(shí)證結(jié)果發(fā)現(xiàn),在計(jì)量檢驗(yàn)所建議采取的隨機(jī)效應(yīng)模型下,對(duì)于大型開(kāi)放經(jīng)濟(jì)體,匯率對(duì)國(guó)債到期收益率的影響顯著為正向,而對(duì)于小型開(kāi)放經(jīng)濟(jì)體,匯率對(duì)國(guó)債到期收益率的影響方向則顯著為負(fù)向。不管是發(fā)生金融海嘯還是歐債風(fēng)暴前后,無(wú)論大小經(jīng)濟(jì)體,其10年期國(guó)債到期收益率與央行基準(zhǔn)利率和物價(jià)年增長(zhǎng)率的關(guān)系都是正向且顯著的；與西德州原油期貨的關(guān)系則是負(fù)向且顯著的。 本文創(chuàng)新之處在于以往的學(xué)術(shù)研究或金融實(shí)務(wù)上,在探討宏觀經(jīng)濟(jì)指標(biāo)與國(guó)債價(jià)格(利率)關(guān)系時(shí),并未就經(jīng)濟(jì)體規(guī)模大小所產(chǎn)生的影響,進(jìn)行研究分析,本文在探討國(guó)債價(jià)格與宏觀經(jīng)濟(jì)指標(biāo)關(guān)系時(shí),將經(jīng)濟(jì)體規(guī)模納入考量。尤其是在探討匯率與國(guó)債到期收益率關(guān)系時(shí),直觀上,對(duì)于兩者的關(guān)系判斷,皆為正向,但本文利用面板數(shù)據(jù)模型,并將經(jīng)濟(jì)體規(guī)模納入考量之后,所得出來(lái)的結(jié)果與直觀判斷上不同,例如,小型經(jīng)濟(jì)體的匯率與國(guó)債利率之間的關(guān)系即為負(fù)向。
[Abstract]:From 2008 to 2011, the financial tsunami of the debt crisis, and then to the post QE era, can be seen that the bonds in the financial market, even the whole global economy plays a very important role. It is not only reflects a country's macroeconomic conditions, but also reflects a country's financial situation and bond prices (yields) is the basis for evaluation of many financial products. In addition, after the financial tsunami, many countries through the loose monetary policy to guide the long day Treasury yield to maturity decline, indirectly stimulate private consumption, reduce government spending and private sector borrowing costs, the economy gradually recovers, the importance of the national debt and national debt market. In the face of financial products and the market is so important, we should carry out research and analysis deeply on it.
The purpose of this paper is to investigate the macroeconomic indicators and the Treasury bonds yield the causal relationship between the application of time series data and panel data regression model empirical analysis, to find out the factors affecting the volatility of treasury bonds, and to further explore in the floating exchange rate system and the floating exchange rate system in the science under the control of the size of open economies due to exchange rate affect the rate of return for bonds. In this study, the ten - year Treasury yield to maturity (BYR) as the dependent variable, exchange rate, stock price index (EXR) (Stock), the central bank's benchmark interest rate (CBR), crude oil futures prices (OP), an GDP (gGDP), CPI (gCPI) is an independent variable, for the period from January 2001 to June 2012 a total of 1380 monthly data were studied and analyzed.
The empirical results show that the measurement test suggested by the random effect model adopted, for large open economies, the exchange rate impact of the bond yield to maturity was significantly positive, while for a small open economy, the exchange rate impact on the bond yield to maturity in the direction of significant negative. Both before and after the financial tsunami or the European debt crisis, regardless of the size of the economy, the 10 - year treasury bonds between the growth rate of return rate and the benchmark interest rate and the price of the year is a positive and significant relationship with the West; Dezhou crude oil futures is negative and significant.
The innovation of this paper lies in the previous academic research or financial practice, in the discussion of macroeconomic indicators and the bond price (interest rate) does not affect relations, size economies generated by research and analysis, this paper discusses the bond price and the macroeconomic index system, the economies of scale into consideration especially. In the discussion of exchange rate and debt relationship directly yield to maturity, and for the relationship between the two judgments are positive, but the panel data model used in this article, and the economies of scale into consideration, the result of the judgment and intuition are different, for example, the relationship between the exchange rate and interest rate of the small economies is negative.

【學(xué)位授予單位】：南開(kāi)大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2013
【分類號(hào)】：F812.5;F832.51

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本文編號(hào)：1622085