發(fā)布時(shí)間：2018-01-31 23:24

  本文關(guān)鍵詞： 國(guó)債收益率曲線 貨幣政策 動(dòng)態(tài)Nelson Siegel模型 VAR分析 關(guān)聯(lián)性　出處：《上海社會(huì)科學(xué)院》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：現(xiàn)階段,我國(guó)處于新貨幣政策框架的轉(zhuǎn)型期,在市場(chǎng)利率指標(biāo)體系中,國(guó)債收益率曲線越來(lái)越受到理論界的重視和實(shí)務(wù)界的關(guān)注。國(guó)債收益率曲線作為金融市場(chǎng)基礎(chǔ)利率水平指標(biāo),它不僅具有直觀反映宏觀經(jīng)濟(jì)運(yùn)行和變化的作用,而且對(duì)國(guó)家宏觀貨幣政策調(diào)控具有重要的參考和傳導(dǎo)作用。本文以銀行間國(guó)債收益率曲線為研究對(duì)象,重點(diǎn)在研究銀行間國(guó)債收益率曲線的模型擬合及銀行間國(guó)債收益率曲線與貨幣政策的關(guān)聯(lián)性這兩方面,目的是為了深入研究國(guó)債收益率曲線在貨幣政策傳導(dǎo)方面的應(yīng)用價(jià)值。首先,本文采用動(dòng)態(tài)Nelson-Siegel模型對(duì)我國(guó)銀行間債券市場(chǎng)各期限的收益率進(jìn)行擬合,獲得較好的收益率曲線擬合結(jié)果,同時(shí)得到國(guó)債收益率曲線的水平因子、斜率因子和曲率因子的時(shí)序值;其次對(duì)我國(guó)銀行間國(guó)債收益率曲線和國(guó)家貨幣政策的關(guān)聯(lián)性展開研究,采用事件研究法和VAR模型進(jìn)行實(shí)證分析,主要運(yùn)用脈沖響應(yīng)函數(shù)和方差分解的方法,研究貨幣政策變量和其他宏觀經(jīng)濟(jì)變量如何作用于銀行間國(guó)債收益率曲線的水平因子、斜率因子和曲率因子,深入探究他們之間具體、實(shí)在的影響機(jī)制和變動(dòng)關(guān)系。從本文實(shí)證分析的結(jié)果來(lái)看,數(shù)量型貨幣政策(M2)對(duì)銀行間國(guó)債收益率曲線的影響比較小,價(jià)格型貨幣政策(R007)對(duì)國(guó)債收益率曲線斜率因子的影響明顯;從事件研究的結(jié)果來(lái)看,法定存款準(zhǔn)備金率的調(diào)整事件窗口期內(nèi)對(duì)國(guó)債收益率曲線的近端有較大影響�？傮w來(lái)看,在現(xiàn)階段我國(guó)銀行間國(guó)債收益率曲線在貨幣政策傳導(dǎo)機(jī)制中的作用有限,對(duì)宏觀經(jīng)濟(jì)增長(zhǎng)和通貨膨脹的信息反應(yīng)不太明顯,國(guó)債收益率曲線作為基準(zhǔn)收益率曲線的作用有待發(fā)揮。
[Abstract]:At present, our country is in the transition period of the new monetary policy frame, in the market interest rate index system. Treasury bond yield curve is paid more and more attention by the theoretical and practical circles. As the basic interest rate index of financial market, it not only reflects the macroeconomic operation and change intuitively. Moreover, it plays an important role in the national macro-monetary policy regulation and transmission. This paper takes the inter-bank bond yield curve as the research object. Focus on the interbank bond yield curve model fitting and the interbank bond yield curve and monetary policy relevance of these two aspects. The purpose is to study the application value of Treasury bond yield curve in monetary policy transmission. In this paper, the dynamic Nelson-Siegel model is used to fit the yield of each maturity of the interbank bond market in China, and a better fitting result of the yield curve is obtained. At the same time, the time series values of the horizontal factor, slope factor and curvature factor of the bond yield curve are obtained. Secondly, the relationship between the interbank bond yield curve and national monetary policy is studied, and the empirical analysis is carried out by using event study method and VAR model, mainly using impulse response function and variance decomposition method. To study how monetary policy variables and other macroeconomic variables affect the horizontal factor, slope factor and curvature factor of the inter-bank bond yield curve, and to explore the specific relationship between them. From the empirical analysis of the results, the quantitative monetary policy (M2) has little effect on the yield curve of inter-bank bonds. The price-based monetary policy (R007) has an obvious effect on the slope factor of the yield curve of government bonds. From the results of the event study, the adjustment of the legal reserve ratio has a greater impact on the near end of the Treasury bond yield curve in the event window period. At the present stage, the yield curve of inter-bank bonds in China plays a limited role in the transmission mechanism of monetary policy, and the information response to macroeconomic growth and inflation is not obvious. The function of Treasury bond yield curve as the benchmark yield curve needs to be played.
【學(xué)位授予單位】：上海社會(huì)科學(xué)院
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F812.5;F822.0

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