本文關鍵詞： 利率期限結構 貨幣政策 宏觀經(jīng)濟 通貨膨脹　出處：《西南財經(jīng)大學》2012年碩士論文　論文類型：學位論文

【摘要】：利率期限結構與宏觀經(jīng)濟、貨幣政策的關系一直是金融學研究的重要領域,但是我國國債市場起步較晚,發(fā)展過程曲折,嚴重制約利率期限結構在貨幣政策實施與宏觀經(jīng)濟觀測方面的作用。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與政府公開市場操作日益頻繁,使國債利率期限結構與宏觀經(jīng)濟、貨幣政策之間的關聯(lián)性逐漸增強,此時對其研究具有十分重要的現(xiàn)實意義。 在一些金融市場比較成熟的國家,利率期限結構是制定貨幣政策和宏觀經(jīng)濟變動預測的重要工具。這些國家的利率都具有市場化特征,利率期限結構與經(jīng)濟增長及通貨膨脹之間存在著穩(wěn)定的關系,通過他們之間的關聯(lián)性分析,利率期限結構可以作為領先指標,預測未來時期宏觀經(jīng)濟變量的變動。央行在制定貨幣政策時,可以通過利率期限結構的變動趨勢,判斷未來宏觀經(jīng)濟走勢,進而將其作為輔助的先行指標,提高央行對宏觀經(jīng)濟的預測能力,增強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,利率期限結構不能用到期收益率表示,而需要采用合理的模型進行擬合估計。因此,本文主要圍繞利率期限結構擬合估計和利率期限結構與宏觀經(jīng)濟、貨幣政策的關系兩個方面進行研究,具體內容分為五章。 第一章是緒論。首先,介紹本文的選題背景和研究意義；其次,相關文獻綜述,分為利率期限結構模型擬合效果和利率期限結構在貨幣政策、宏觀經(jīng)濟方面的應用兩部分。 第二章是利率期限結構及應用的理論基礎。首先,介紹了利率期限結構的三種理論：市場預期理論、市場分割理論和流動性偏好理論。其次,介紹了利率期限結構和貨幣政策、宏觀經(jīng)濟、通貨膨脹關系的理論基礎。為下文利率期限結構估計及應用分析奠定理論基礎。 第三章是利率期限結構模型擬合估計效果。本章采用樣條法擬合國債利率期限結構,然后采用主成分分析方法,分析我國國債利率期限結構是否受系統(tǒng)性、非系統(tǒng)性因素的影響。最后對擬合出的利率期限結構時序數(shù)據(jù)、宏觀經(jīng)濟景氣指數(shù)與貨幣政策實施進行描述性分析,初步判斷之間是否具有關聯(lián)性。 第四章是利率期限結構應用研究。本章主要從貨幣政策傳導機制理論入手,實證出利率期限結構包含貨幣政策信息、經(jīng)濟波動信息和通貨膨脹信息,說明國債利率期限結構的基準利率作用。 第五章是相關的結論和政策建議。 按照上述研究思路,本文得出的結論主要包括以下幾個方面。 (1)選取2011年6月30日上海證券交易所的國債數(shù)據(jù)進行實證分析,得到了擬合價格與實際價格差距的均方誤差、貼現(xiàn)率與利率期限結構曲線。通過均方誤差分析,得出擬合價格與實際價格之間差距較小,即擬合價格比較精確反映了國債實際價格的結論；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)的相關理論；擬合出的利率期限結構曲線向右上方傾斜,即期限越長,即期利率越大,這一特征也符合利率期限結構流動性理論。以上分析結果表明,樣條法適合用來擬合我國國債利率期限結構。 (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),并描述了這段時間我國國債市場利率期限結構的變化特征。將利率期限結構與央行政策實施、宏觀經(jīng)濟波動的動態(tài)特征的比較,結果表明,利率期限結構波動較大的時期,央行貨幣政策操作較為頻繁,宏觀經(jīng)濟波動性也較大,從而可以初步判斷國債利率期限結構與貨幣政策實施、宏觀經(jīng)濟波動存在某種關聯(lián)性。 (3)利率期限結構的主成分分析,主要是為驗證我國利率期限結構是否滿足三個主成分特征,文中采用6個月、1-7年、10年、15年與20年這11個主干利率來做主成分分析。結果表明,我國國債市場符合三個主成分特征,且第一個主成分受不同期限的影響一致,即表現(xiàn)出水平特征；第二個主成分短期國債的影響為正,長期國債的影響為負,即表現(xiàn)出向下傾斜特征；第三個主成分受不同期限影響表現(xiàn)出先減弱后又增強的曲度特征。以上分析結果表明,我國國債利率期限結構完全符合相關特征,即我國國債市場利率期限結構的確受一些系統(tǒng)性、非系統(tǒng)性因素的影響。 (4)首先,協(xié)整檢驗與誤差修正模型表明,利率期限結構與貨幣供應量M2之間存在穩(wěn)定的關系。其次,國債利率期限結構對貨幣供應量M2的脈沖響應也明顯。最后,國債利率期限結構對貨幣供應量M2的方差貢獻率維持在20%左右。以上分析結論表明,利率期限結構包含貨幣政策信息,能夠發(fā)揮貨幣政策實施時的傳導作用。 (5)首先,協(xié)整檢驗與誤差修正模型表明,利率期限結構與宏觀經(jīng)濟景氣指數(shù)之間存在穩(wěn)定的關系。其次,國債利率期限結構對宏觀經(jīng)濟景氣指數(shù)的脈沖響應明顯,而宏觀經(jīng)濟景氣指數(shù)對利率期限結構的沖擊效應弱一些。最后,利率期限結構對宏觀經(jīng)濟景氣指數(shù)的方差貢獻度隨著時期后推而逐漸增大,滯后六期的方差貢獻率達到30%左右。以上分析結論表明,利率期限結構在對宏觀經(jīng)濟的傳導中具有有效性,因此利率期限結構可以作為觀測宏觀經(jīng)濟變動趨勢一種輔助工具。 (6)首先,協(xié)整檢驗與誤差修正模型表明,利率期限結構與反映需求引起的通貨膨脹CPI之間存在穩(wěn)定的關系。其次,國債利率期限結構對CPI的脈沖響應明顯,而CPI對利率期限結構脈沖要弱一些。最后,利率期限結構對CPI的方差貢獻度在逐漸增大,說明利率期限結構在對通貨膨脹的傳導中具有一定有效性；但是,方差貢獻率在5%左右,說明利率期限結構在對通貨膨脹的解釋能力較弱。因此利率期限結構對通貨膨脹的監(jiān)測沒有對宏觀經(jīng)濟變動監(jiān)測的效果好。 雖然研究利率期限結構的相關文獻較多,但是本文具有自己的研究特色,可以概述為以下幾點。 (1)利率期限結構擬合估計模型的選擇 利率期限結構的擬合模型主要包括靜態(tài)模型與動態(tài)模型,靜態(tài)模型依據(jù)擬合價格與實際價格差距最小化原理,采用樣條逼近的擬合方法,避免了動態(tài)模型的假定條件限制,在擬合利率期限結構方面具有優(yōu)勢。 (2)利率期限結構擬合曲線的動態(tài)特征分析 采用描述性統(tǒng)計分析方法分別描述利率期限結構、宏觀經(jīng)濟波動與央行貨幣政策實施的動態(tài)變動趨勢,從而探索三者之間的關聯(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的主成分特征。 (3)利率期限結構應用研究角度的選擇 利率期限結構與宏觀經(jīng)濟、貨幣政策關系的研究,是近年來研究的熱點,但大部分文獻都在研究三者之間是否存在動態(tài)關聯(lián)性,而對于傳導機制方面研究甚少。本文以貨幣政策傳導機制為依據(jù),探索國債利率期限結構是否適合充當貨幣政策傳導的基準利率,在傳導中是否具有有效性。
[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 .

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

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