發(fā)布時(shí)間：2018-02-12 01:54

  本文關(guān)鍵詞： 國債 期限利差 宏觀經(jīng)濟(jì)因素 GARCH( )模型　出處：《蘇州大學(xué)學(xué)報(bào)(哲學(xué)社會科學(xué)版)》2017年05期 　論文類型：期刊論文

【摘要】：本文根據(jù)中美兩國10年期與3個(gè)月期國債到期收益率利差數(shù)據(jù),在驗(yàn)證了長短期國債期限利差存在ARCH效應(yīng)的基礎(chǔ)上,構(gòu)建了GARCH(1,1)模型,對中美兩國各自長短期國債期限利差的宏觀經(jīng)濟(jì)影響因素進(jìn)行了實(shí)證。研究表明,經(jīng)濟(jì)增長因素與美國長短期國債期限利差波動(dòng)性呈正相關(guān),而對中國影響不顯著;通貨膨脹因素與兩國各自長短期國債期限利差波動(dòng)性均呈現(xiàn)正相關(guān)但對美國影響程度更大;貨幣政策的變化與美國長短期國債期限利差波動(dòng)性呈現(xiàn)正相關(guān)與中國呈負(fù)相關(guān);實(shí)際有效匯率的變動(dòng)與兩國各自長短期國債期限利差波動(dòng)性均呈現(xiàn)正相關(guān)且對兩國影響程度較為接近。整體比較而言,美國國債期限利差的宏觀經(jīng)濟(jì)影響因素對其的影響程度更為顯著。
[Abstract]:Based on the data of maturity yield spread of 10-year and 3-month bonds between China and the United States, a ARCH model is constructed on the basis of verifying the existence of ARCH effect in the term spread of long-term and short-term treasury bonds. This paper makes an empirical study on the macroeconomic influence factors of the maturity spreads of China and the United States. The results show that the factors of economic growth are positively correlated with the volatility of the long-term and short-term bond spreads, but the impact on China is not significant. Inflation factors are positively correlated with the volatility of the maturity spreads of the two countries' long-term and short-term bonds, but have a greater impact on the United States, while the changes of monetary policy have a positive correlation with the volatility of the short-term and long-term Treasury bonds of the two countries, and are negatively correlated with the volatility of the short-term and long-term Treasury bonds in China. The change of the real effective exchange rate is positively correlated with the volatility of the short-term and long-term bond maturity spreads between the two countries and has a close impact on the two countries. The macroeconomic factors affecting the term spread of US Treasury bonds are more significant.
【作者單位】： 蘇州大學(xué)東吳商學(xué)院;中國農(nóng)業(yè)銀行蘇州分行;
【基金】：教育部人文社科基金資助項(xiàng)目“激勵(lì)相容視角下互聯(lián)網(wǎng)金融創(chuàng)新監(jiān)管機(jī)制研究(項(xiàng)目編號:15YJA790001)”的階段性成果
【分類號】：F124;F171.2;F812.5;F817.12

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本文編號：1504516