本文選題：利率期限結(jié)構(gòu) + 狀態(tài)空間模型�。� 參考：《復(fù)旦大學(xué)》2012年碩士論文

【摘要】：利率是經(jīng)濟(jì)金融領(lǐng)域的核心變量,實(shí)質(zhì)是資金價格,反映市場上資金的供求關(guān)系。市場化的利率是完善的社會主義市場經(jīng)濟(jì)體制的必要條件,是加強(qiáng)我國金融間接調(diào)控的關(guān)鍵,更是金融機(jī)構(gòu)提高競爭力,加強(qiáng)自主經(jīng)營機(jī)制的重要條件之一。我國利率市場化穩(wěn)步推進(jìn)的首要條件是國債市場上利率期限結(jié)構(gòu)的構(gòu)建,利率曲線是各種金融衍生工具的定價基準(zhǔn),它的變化反應(yīng)了市場對未來利率變化的預(yù)期。在我國積極推進(jìn)利率市場化改革的同時,研究我國債券市場的利率期限結(jié)構(gòu),有助于把握我國利率期限結(jié)構(gòu)的特征,而著眼于宏觀經(jīng)濟(jì)因素對不同債券市場上利率期限結(jié)構(gòu)的影響差異,更為兩市融合,提高債券市場效率打下了堅實(shí)基礎(chǔ)。 本文系統(tǒng)的回顧了利率期限結(jié)構(gòu)理論與實(shí)證的相關(guān)文獻(xiàn),甄別適合我國債券市場的模型,選擇了基于Nelson-Siegel模型的狀態(tài)空間模型為擬合我國國債銀行間市場利率期限結(jié)構(gòu)的最優(yōu)模型。利用卡爾曼濾波方法估計出代表整個利率曲線的三個因子序列：水平因子、斜率因子及曲率因子。擬合結(jié)果顯示,Nelson-Siegel模型的擬合效果較好,適用于我國國債利率期限結(jié)構(gòu)的擬合,且三因子能夠較好的反應(yīng)整個利率曲線的特征。 本文進(jìn)一步討論了利率期限結(jié)構(gòu)三因子與宏觀因素的相關(guān)關(guān)系。我們將眾多的宏觀經(jīng)濟(jì)變量劃分為三類：實(shí)體經(jīng)濟(jì)水平、貨幣政策及價格水平,并通過主成分分析法提取各類別變量的第一主成分序列,建立結(jié)構(gòu)向量自回歸(SVAR)模型,將利率期限結(jié)構(gòu)三個潛在因子引入模型,利用脈沖響應(yīng)函數(shù)與方差分解技術(shù)考察宏觀經(jīng)濟(jì)沖擊對利率期限結(jié)構(gòu)的影響。得到如下結(jié)論：(1)利率期限結(jié)構(gòu)的水平因子對宏觀因素的響應(yīng)較為強(qiáng)烈,斜率因子和曲率因子則明顯較弱。宏觀因素對水平因子方差的貢獻(xiàn)率較高,而對斜率因子和曲率因子方差的貢獻(xiàn)率約維持在20-30%左右。(2)價格水平因素對水平因子有著顯著而持久的影響,是導(dǎo)致長期利率水平變化的最主要因素,且對水平因子方差的貢獻(xiàn)率最高,實(shí)證結(jié)果基本與理論一致。(3)擴(kuò)張的貨幣政策會引起長短期利差的擴(kuò)大,但存在約2期的滯后。實(shí)體經(jīng)濟(jì)水平對斜率因子方差貢獻(xiàn)率較大,價格水平對斜率因子的影響較弱。(4)實(shí)體經(jīng)濟(jì)的增長、擴(kuò)張的貨幣政策以及通貨膨脹都會增加利率曲線的曲率,但各因素引起的響應(yīng)幅度相差不大,曲率因子對宏觀因素的變化并不敏感。 結(jié)合現(xiàn)有研究,本文給出了相關(guān)的政策建議。
[Abstract]:Interest rate is the core variable in the field of economy and finance. In essence, it is the price of funds, which reflects the relationship between supply and demand of funds in the market. The market-oriented interest rate is the necessary condition of the perfect socialist market economy system, the key to strengthen the indirect regulation and control of our country's finance, and one of the important conditions for the financial institutions to improve their competitiveness and strengthen the self-management mechanism. The construction of term structure of interest rate in the national debt market is the primary condition for the steady progress of interest rate marketization in China. The interest rate curve is the pricing benchmark of various financial derivatives, and its change reflects the market's expectation of the future interest rate change. While China is actively promoting the reform of interest rate marketization, studying the term structure of interest rate in China's bond market is helpful to grasp the characteristics of the term structure of interest rate in China. Focusing on the influence of macroeconomic factors on the term structure of interest rates in different bond markets, the integration of the two markets has laid a solid foundation for improving the efficiency of the bond market. This paper systematically reviews the relevant literature on the theory and demonstration of term structure of interest rate, and discriminates the model suitable for China's bond market. The state space model based on Nelson-Siegel model is selected as the optimal model to fit the term structure of the inter-bank interest rate in China's treasury bond market. Three series of factors representing the whole interest rate curve are estimated by Kalman filter: horizontal factor, slope factor and curvature factor. The fitting results show that the Nelson-Siegel model is suitable for the fitting of the term structure of national debt interest rate, and the three factors can well reflect the characteristics of the whole interest rate curve. This paper further discusses the relationship between three factors of term structure of interest rate and macro factors. We divide many macroeconomic variables into three categories: real economy level, monetary policy and price level, and extract the first principal component sequence of each kind of variables by principal component analysis, and establish structural vector autoregressive SVAR-model. Three potential factors of term structure of interest rate are introduced into the model, and the impact of macroeconomic shock on term structure of interest rate is investigated by using impulse response function and variance decomposition technique. The conclusion is as follows: (1) the level factor of the term structure of interest rate has a strong response to the macro factor, while the slope factor and the curvature factor are obviously weak. The contribution rate of macro factor to horizontal factor variance is higher, while the contribution rate to slope factor and curvature factor variance is about 20-30%.) Price level factor has significant and lasting influence on horizontal factor. It is the most important factor that leads to the change of the level of long-term interest rate, and the contribution rate to the variance of the level factor is the highest. The monetary policy, which is basically consistent with the theory, will cause the spread of interest rate in the long and short term, but there is a lag of about two periods. The effect of price level on slope factor is weak. The growth of real economy, the expansion of monetary policy and inflation will increase the curvature of interest rate curve. However, the response amplitude caused by each factor is not different, and the curvature factor is not sensitive to the change of macro factor. Combined with the existing research, this paper gives the relevant policy recommendations.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F822.0;F224

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