本文選題：國(guó)債收益率　切入點(diǎn)：貨幣政策　出處：《吉林大學(xué)》2017年碩士論文

【摘要】：國(guó)債收益率通常被解釋為投資國(guó)債每年所得收益占資本的比例,能為投資者進(jìn)行資產(chǎn)定價(jià)、投資決策等提供重要依據(jù)。國(guó)債收益率曲線也是風(fēng)險(xiǎn)管理、金融資產(chǎn)定價(jià)、套期保值等方面的參照標(biāo)準(zhǔn),以此構(gòu)建的國(guó)債利率期限結(jié)構(gòu)更能作為“晴雨表”反映宏觀經(jīng)濟(jì)情況。對(duì)國(guó)債收益率的研究多涉及到國(guó)債利率期限結(jié)構(gòu)的構(gòu)建及估計(jì)方面,對(duì)此國(guó)內(nèi)外已經(jīng)做了相當(dāng)程度的探索,而針對(duì)宏觀經(jīng)濟(jì)因素對(duì)國(guó)債收益率的影響分析方面國(guó)內(nèi)的研究則相對(duì)較少。隨著人民幣在離岸市場(chǎng)及在岸市場(chǎng)的快速發(fā)展,銀行間、交易所債券市場(chǎng)的日漸融合,債券一級(jí)市場(chǎng)及二級(jí)市場(chǎng)的日益成熟,SDR利率籃子納入了3個(gè)月國(guó)債收益率曲線利率等,探究宏觀經(jīng)濟(jì)因素與國(guó)債收益率之間的相關(guān)關(guān)系具有十分深遠(yuǎn)的理論和現(xiàn)實(shí)意義。不僅有助于研究宏觀經(jīng)濟(jì)政策在國(guó)債市場(chǎng)傳導(dǎo)性機(jī)制是否成熟、有效,有助于投資者合理地進(jìn)行投資決策,還有助于政策制定當(dāng)局理性調(diào)節(jié)國(guó)債發(fā)行制度、規(guī)模、頻率等,從而有利于我國(guó)在深化經(jīng)濟(jì)體制改革的重要階段建立起更加完善、穩(wěn)健、高流動(dòng)性的國(guó)債市場(chǎng)。本文應(yīng)用數(shù)理金融和回歸分析等方法展開(kāi)分析,實(shí)證剖析了貨幣政策對(duì)國(guó)債收益率的影響:首先,基于數(shù)理金融和模型創(chuàng)新的角度實(shí)證分析了貨幣政策對(duì)國(guó)債收益率曲線的短期沖擊效應(yīng)。一方面,采用基于外生性結(jié)構(gòu)突變的事件分析法研究降準(zhǔn)的貨幣政策分別對(duì)1年、5年、10年、20年期國(guó)債收益率走勢(shì)的短期沖擊效應(yīng)。結(jié)果顯示:5年期國(guó)債收益率走勢(shì)受降準(zhǔn)政策的負(fù)向沖擊效應(yīng)最為顯著,1年、10年、20年期次之。另一方面,基于利率期限結(jié)構(gòu)理論首次分別結(jié)合遺傳算法及非線性最小二乘法、久期加權(quán)非線性最小二乘法構(gòu)建了Svensson擴(kuò)展模型,得到了0至50年到期期限的國(guó)債收益率曲線,并與三次多項(xiàng)式樣條模型的擬合效果相比,接著結(jié)合圖形及模型參數(shù)研究了降準(zhǔn)的貨幣政策對(duì)國(guó)債收益率曲線的短期影響。結(jié)果顯示:(1)Svensson擴(kuò)展模型在對(duì)國(guó)債收益率曲線進(jìn)行擬合方面具有相對(duì)更顯著、可信的擬合效果。(2)降準(zhǔn)政策不僅在國(guó)債利率期限結(jié)構(gòu)圖上較為明顯地表現(xiàn)出了下降趨勢(shì),而且利率曲線的漸近線參數(shù)、斜率參數(shù)及曲度參數(shù)在數(shù)次降準(zhǔn)政策前后一周均發(fā)生了顯著變動(dòng)。其中,漸近線參數(shù)顯著下降,利率曲線的漸近線水平及起始水平顯著下降;斜率參數(shù)絕對(duì)值顯著下降,利率曲線更加平緩,本文以為這主要是債券市場(chǎng)參與者預(yù)期擴(kuò)張政策的力度有限,通貨緊縮狀態(tài)會(huì)持續(xù)而引起的;曲度參數(shù)顯著上升,利率曲線曲度增大。接下來(lái),基于回歸分析方法實(shí)證了貨幣政策對(duì)國(guó)債收益率曲線的短期及長(zhǎng)期影響。首先為了考察貨幣政策變量變動(dòng)對(duì)國(guó)債收益率的短期作用,通過(guò)因子分析法找出了影響國(guó)債收益率動(dòng)態(tài)特征的公共因子,前兩個(gè)公共因子分別為水平因子、斜率因子。由于水平因子及斜率因子對(duì)國(guó)債收益率的解釋度已高達(dá)93.95%,則通過(guò)逐步回歸法對(duì)貨幣政策變量變動(dòng)及水平因子、斜率因子進(jìn)行回歸。接著為了考察貨幣政策變量對(duì)國(guó)債收益率的長(zhǎng)、短期影響,構(gòu)建了月度貨幣政策序列對(duì)不同期限月度國(guó)債收益率序列的ADL模型,并結(jié)合ECM模型實(shí)行誤差修正。實(shí)證結(jié)果如下:(1)國(guó)債收益率的本質(zhì)特征顯示,利率政策指標(biāo)的變動(dòng)對(duì)水平因子、斜率因子均有顯著的短期影響。水平因子與公開(kāi)市場(chǎng)操作具有相關(guān)性。此外,匯率政策的變動(dòng)對(duì)水平因子、斜率因子的影響均不顯著。(2)從短期影響來(lái)看,利率政策、公開(kāi)市場(chǎng)業(yè)務(wù)指標(biāo)對(duì)短期及中期國(guó)債收益率的變動(dòng)會(huì)產(chǎn)生較為顯著的同向沖擊效應(yīng)。對(duì)于到期期限較長(zhǎng)的國(guó)債,匯率政策對(duì)國(guó)債收益率產(chǎn)生短期同向影響。(3)從長(zhǎng)期影響來(lái)看,公開(kāi)市場(chǎng)業(yè)務(wù)作用下市場(chǎng)利率走勢(shì)對(duì)國(guó)債收益率走勢(shì)會(huì)產(chǎn)生持續(xù)的同向作用,價(jià)格型貨幣政策變量與國(guó)債收益率存在長(zhǎng)期關(guān)系。(4)國(guó)債收益率除受貨幣政策變量影響之外,還受其他宏觀經(jīng)濟(jì)變量或非宏觀經(jīng)濟(jì)變量的影響。
[Abstract]:Bond yields are usually interpreted as the annual investment in bonds proceeds accounted for the proportion of capital asset pricing, can provide an important basis for investors, investment decisions. The yield curve is the financial risk management, asset pricing, hedging and other aspects of the reference standard, the term structure of interest rates in order to build more as a "barometer" reflect the macroeconomic situation. The study yields much involves the construction of the term structure of interest rates and estimates, which have done at home and abroad a considerable degree of exploration, and according to the macroeconomic factors on the yields of domestic research is relatively small. With the rapid development of the renminbi in the offshore market. And in the offshore market between banks, exchange bond market integration, the bond market and two market matures, the SDR interest rate into the basket The 3 month Treasury yield curve of interest rates, has great theoretical and practical significance to explore the relationship between macroeconomic factors and yields. Not only contribute to the study of macroeconomic policy in the bond market is mature and effective, conductive mechanism, helps investors reasonably make investment decisions, but also help in the policy authorities rationally adjust the distribution system, the scale of treasury bonds, such as frequency, which is conducive to China's establishment of an important stage in deepening the reform of the economic system more perfect, stable, high liquidity of the bond market. This should be carried out by analysis of mathematical finance and regression analysis, the empirical analysis of the impact of monetary policy on bond yields rate: first, an empirical mathematical model based on the perspective of financial innovation and analyzes the short-term impact of monetary policy on the YC. On the one hand, based on the exogenous Structural analysis of mutation event study drop quasi monetary policy for 1 years, 5 years, 10 years, short-term impact 20 year bond yields trend. The results showed that: 5 year bond yields trend by quasi policy negative impact effect is the most significant, 1 years, 10 years, 20 years during the period of time. On the other hand, the theory of the term structure of interest rates for the first time respectively by combining the genetic algorithm and the nonlinear least squares method based on weighted nonlinear least squares method to construct the Svensson duration model, 0 to 50 years the maturity of the bond yield curve is obtained, and compared with three fitting polynomial spline model, short-term effect then combined with graphics and model parameters on the drop quasi monetary policy on curve yields. The results showed: (1) the expansion of Svensson model in fitting curve of bond yields is relatively more significant, reliable fitting Results. (2) RRR policy not only in the term structure of interest rates on the map are clearly showed a downward trend, and the interest rate curve asymptote parameter, slope parameter and curvature parameter RRR policy before and after a week there were significant variations in several parameters. The asymptote decreased significantly, the level of interest rates and initial asymptote the curve decreased significantly; the absolute value of the slope parameter decreased significantly, the interest rate curve is more smooth, we think this is mainly the bond market participants expected limited expansion policy, deflation will continue due to increased significantly; curvature parameter, interest rate curve increased. Then, regression analysis demonstrated the short-term and long-term impact of monetary policy rate based on the curve of the Treasury bonds. Firstly, in order to study the monetary policy variable short-term effect on bond yields, through the factor analysis method to find The effects of common factors yields the dynamic characteristics of the two common factors were level factor, slope factor. Because the level factor and the slope factor of yield degree of interpretation has been as high as 93.95%, while the monetary policy variable and level factor stepwise regression method, the regression slope factor then. In order to study the monetary policy variables on the yields of long, short term effects, construct a model of the ADL sequence sequence on the rate of monthly monetary policy in different period of monthly bond yields, and combined with the ECM model to implement the error correction. The empirical results are as follows: (1) shows the essential characteristics of bond yields, the factor index change on the level of interest rate policy the short-term effect, slope factor significantly. The level of factor correlated with open market operation. In addition, the exchange rate policy changes on the level factor, slope factor effects were not significant . (2) the interest rate from the short-term effect, policy index of open market operations on short-term and medium-term bond yields will produce significant changes in the same direction. The impact of longer maturity bonds, exchange rate policy has the same influence rate of short-term Treasury yields. (3) from the long-term effects, the trend of the market the interest rate effect of open market operations under the rate on Treasury yields will have to continue with the role, there is a long-term relationship between price based monetary policy variables and bond yields. (4) yields not only by monetary policy variables, but also influenced by other macroeconomic variables and macroeconomic variables.

【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F822.0;F812.5

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