本文選題：利率期限結(jié)構(gòu) + 收益率曲線�。� 參考：《復(fù)旦大學(xué)》2014年博士論文

【摘要】：首先,本文對利率期限結(jié)構(gòu)和貨幣政策之間的關(guān)系進(jìn)行了比較全面和系統(tǒng)的梳理和研究,將已有文獻(xiàn)中關(guān)于利率期限結(jié)構(gòu)理論和貨幣政策理論進(jìn)行了有機(jī)的結(jié)合。本文研究認(rèn)為：(1)利率期限結(jié)構(gòu)所包含的信息對宏觀經(jīng)濟(jì)狀況和金融市場穩(wěn)定的判斷具有極其重要的作用；(2)貨幣政策的制定和實(shí)施要考慮利率期限結(jié)構(gòu)的情況,僅關(guān)注短期利率的貨幣政策制定是有缺陷的；(3)利率期限結(jié)構(gòu)和貨幣政策的關(guān)系對我國的貨幣政策的理論和實(shí)踐具有重要意義,例如：我國利率市場化改革的目標(biāo)是形成我國的基準(zhǔn)收益率曲線,當(dāng)這一目標(biāo)實(shí)現(xiàn)后,貨幣政策的設(shè)計(jì)、實(shí)施和宏觀經(jīng)濟(jì)調(diào)控將高度依賴貨幣政策和基準(zhǔn)收益率曲線之間的關(guān)系。由于目前我國的貨幣政策理論研究和利率期限結(jié)構(gòu)理論研究對這一方面的研究相當(dāng)有限,因此本文的研究是對我國貨幣政策理論和利率期限結(jié)構(gòu)理論研究的完善和補(bǔ)充。從理論層面來看,本文對這一重要研究領(lǐng)域的思路和成果進(jìn)行了整理和深化；從實(shí)踐層面來看,本文的研究雖然是基于美國的研究,但是,為我國未來的利率市場化實(shí)踐和貨幣政策基于價(jià)格的調(diào)控方式的實(shí)踐提供了重要的借鑒。其次,本文對非常規(guī)貨幣政策進(jìn)行了研究,而非常規(guī)貨幣政策和利率期限結(jié)構(gòu)的關(guān)系顯得更加的緊密。從近半個(gè)多世紀(jì)的經(jīng)濟(jì)歷史來看,人類經(jīng)濟(jì)始終伴隨著經(jīng)濟(jì)(金融)危機(jī)。面對危機(jī),央行的貨幣政策成為最后的救命稻草。2008年次貸危機(jī)爆發(fā)以來,世界各國央行普遍采取非常規(guī)貨幣政策進(jìn)行救市,而各種非常規(guī)貨幣政策往往通過直接影響利率期限結(jié)構(gòu),進(jìn)而影響經(jīng)濟(jì)。本文利用IS-MP模型、CC-LM模型和IS-LM-BB模型對非常規(guī)貨幣政策進(jìn)行了理論分析,由于這些模型對金融中介(銀行)、短期利率和長期利率都有刻畫,因此在分析非常規(guī)貨幣政策的影響和作用機(jī)制上非常有力。本人分析認(rèn)為量化寬松操作、信貸寬松操作,預(yù)期引導(dǎo)操作和購買長期國債操作,對長期利率(利率期限結(jié)構(gòu))和產(chǎn)出存在直接影響,可以實(shí)現(xiàn)其預(yù)期的政策意圖。最后,本文以美國的實(shí)踐為例,對貨幣政策和利率期限結(jié)構(gòu)的關(guān)系進(jìn)行了研究。為了量化分析貨幣政策對利率期限結(jié)構(gòu)的影響,我們利用動態(tài)Nelson-Siegel模型將收益率曲線的時(shí)間序列數(shù)據(jù)因子化,得到代表利率期限結(jié)構(gòu)的三因子序列：水平因子L,斜率因子S,曲率因子C。然后,參照DRA(2006)方法,建立了包含宏觀因素(含有貨幣政策變量)和利率期限結(jié)構(gòu)三因子的SVAR模型,利用脈沖響應(yīng)函數(shù)和方差分解分析著重對貨幣政策對利率期限結(jié)構(gòu)的影響進(jìn)行了分析。研究發(fā)現(xiàn)非常規(guī)貨幣政策對利率期限結(jié)構(gòu)的影響顯著�？傮w而言,量化寬松政策和長期國債購買對利率期限結(jié)構(gòu)的水平因子和斜率因子的影響相對最大,水平因子的脈沖響應(yīng)函數(shù)的最大值分別為-0.099233和0.090471,斜率因子的脈沖響應(yīng)函數(shù)的最大值分別為0.114944和-0.089923。長期國債購買和MBS購買對利率期限結(jié)構(gòu)的曲率因子的影響相對最大,曲率因子的脈沖響應(yīng)函數(shù)的最大值分別為0.106254和-0.054327。
[Abstract]:First, this paper summarizes and comparatively comprehensive and systematic study on the relationship between the term structure of interest rates and monetary policy, the existing literature on the term structure of interest rate theory and monetary policy theory are combined. This paper considers that: (1) the interest rate term structure contains information plays a very important role in the macro economic situation and financial market stability judgment; (2) the formulation and implementation of monetary policy should consider the term structure of interest rates, only pay attention to short-term interest rate monetary policy is flawed; (3) has important significance in theory and practice, the interest rate term structure and monetary policy on China's monetary policy for example: the marketization of interest rate target is to form the country's benchmark yield curve, when the realization of this goal, the design and implementation of monetary policy, macroeconomic regulation and control will be high The relationship between the degree of reliance on monetary policy and the benchmark yield curve between. Due to China's current monetary policy theory and the theory of interest rate term structure research on this aspect is very limited, so this study is a complement to our country monetary policy theory and term structure theory. From the view of theory in this paper, the ideas and results of this important research in the field of consolidation and deepening; from a practical perspective, while this research is based on studies in the United States, but for our future interest rate market practice and the practice of monetary policy based on price regulation provides important reference. Secondly, this paper the study of unconventional monetary policy, instead of conventional monetary policy and the term structure of interest rates more closely. From nearly half a century of economic history, human The economy is always accompanied by economic (financial) crisis. In the face of the crisis, the central bank's monetary policy has become the last straw for.2008 years since the outbreak of the sub-prime crisis, the world's central banks generally adopt unconventional monetary policy to rescue the market, and a variety of unconventional monetary policy often through a direct impact on the term structure of interest rates, thereby affecting the economy. This paper uses the IS-MP model CC-LM model and IS-LM-BB model, analyses the theory of unconventional monetary policy, because these models of financial intermediaries (banks), short-term and long-term interest rates are characterized, so as to analyze the unconventional monetary policy and action mechanism is very powerful. I think the analysis of quantitative easing, credit easing, expected to guide the operations and the purchase of long-term debt, long-term interest rate (the interest rate term structure) and the output has a direct effect, can achieve its desired policy intention Finally, based on the practice of the United States as an example, the relationship between the monetary policy and the term structure of interest rates is studied. To quantitatively analyze the impact of monetary policy on the term structure of interest rate, we use dynamic Nelson-Siegel model of the time series data of the yield curve factor, three factor sequence represents the term structure of interest rates: the level of factor L, slope factor S, curvature factor C. then, according to DRA (2006) methods, including macro factors (including monetary policy variables) SVAR model and three factor term structure of interest rate, using the impulse response function and variance analysis focuses on the impact of monetary policy on interest rate term structure decomposition is analyzed. The study found that influence unconventional monetary policy on the term structure of interest rate is significant. Overall, the quantitative easing policy and long-term treasury bonds to buy the term structure of interest rate level and the slope factor for The influence of relative maximum level factor of the impulse response function of the maximum value of -0.099233 and 0.090471 respectively, the maximum value of the impulse response function of the slope factor of the relative maximum effects were 0.114944 and -0.089923. to purchase long-term bonds and buy MBS curvature factor on the term structure of interest rate, the maximum value of the impulse response function of the curvature factor respectively. 0.106254 and -0.054327.

【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2014
【分類號】：F827.12;F837.12

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