本文選題：收益率曲線 + Nelson-Siegel模型　； 參考：《廈門大學》2014年碩士論文

【摘要】：國債收益率曲線是整個金融市場定價的參考基準,同時也反映了一個國家的宏觀經(jīng)濟走勢。中美兩國的國債收益率曲線的聯(lián)動性問題不僅關乎這兩個經(jīng)濟體的宏觀經(jīng)濟走勢的大勢,而且對企業(yè)家和投資者的投資效益而言有重要影響。 本文選取中美兩國的國債收益率曲線多個期限的2002--2013年間的月度數(shù)據(jù)及2008年7月—2013年3月間的周數(shù)據(jù),用相關系數(shù)、格蘭杰因果檢驗等等方法進行分析,結果顯示,發(fā)現(xiàn)在月度頻率下,中國的國債收益率影響美國的國債收益率,尤其是中國1年期和20年期的國債收益率能夠影響美國的整條收益率曲線。而在金融危機后,周數(shù)據(jù)中表現(xiàn)出了兩國各期限的國債收益率的相互影響,尤其是美國1年期的國債收益率對中國各期限的國債收益率都有顯著影響。 鑒于此,我們首先通過動態(tài)的Nelson-Siegel(N-S)模型從兩國的名義國債收益率曲線中各析取了收益率因子并對他們做聯(lián)動性分析。本文第一次通過對收益率因子的聯(lián)動性分析以了解兩國收益率曲線聯(lián)動的整體性特征,結果發(fā)現(xiàn)各個收益率因子的確存在著顯著的聯(lián)動關系,說明中國資本市場逐步開放和人民幣實現(xiàn)有管理的浮動匯率的背景下,中美兩國的收益率曲線之間的動態(tài)聯(lián)系日益緊密。 接著我們通過選取人民幣升值預期指標和外匯儲備月度同比增量等影響收益率的宏觀因子,運用VAR模型進行動態(tài)的分析,發(fā)現(xiàn)收益率因子和這些宏觀變量的確存在著顯著的相互影響的關系。這些定量分析,驗證了我們分別從資本循環(huán)、對外貿(mào)易對兩國實體經(jīng)濟的影響和國際熱錢沖擊等方面對中美兩國國債收益率曲線的聯(lián)動機制所做的分析,認為中國參與世界經(jīng)濟的資本循環(huán)方式很好解釋了兩國收益率曲線之間的聯(lián)系,中美之間的貿(mào)易能對美國通貨膨脹進而對美國收益率水平因子產(chǎn)生很清晰的影響,而國際熱錢的沖擊更易影響中國的利率和匯率進而對中國收益率產(chǎn)生影響。
[Abstract]:Treasury yield curve is the reference point of the whole financial market pricing, but also reflects the macroeconomic trend of a country.The linkage of the bond yield curve between China and the United States is not only related to the macroeconomic trends of the two economies, but also has an important impact on the investment returns of entrepreneurs and investors.This paper selects the monthly data from 2002 to 2013 and the weekly data from July 2008 to March 2013 of the bond yield curve of China and the United States, and analyzes them by using correlation coefficient, Granger causality test and so on. The results show that,It is found that at monthly frequency, Chinese Treasury yields affect U.S. Treasury yields, especially the yields of Chinese one-year and 20-year bonds, which can affect the entire yield curve of the United States.In the aftermath of the financial crisis, the weekly data showed the mutual influence of the bond yields of the two countries with different maturities, especially the yield of the one-year Treasury bonds of the United States had a significant impact on the yields of China's bonds of all maturities.In view of this, we first extract the yield factors from the nominal bond yield curve of the two countries through the dynamic Nelson-Siegelon N-S) model and make a linkage analysis of them.For the first time, through the linkage analysis of the yield factor, this paper tries to understand the overall characteristics of the linkage between the two countries' yield curve. The results show that there is a significant linkage relationship between the various yield factors.It shows that under the background of the gradual opening of China's capital market and the realization of managed floating exchange rate, the dynamic relationship between the yield curve of China and the United States is increasingly close.Then we use the VAR model to analyze the macro-factors which influence the rate of return, such as the expected index of RMB appreciation and the monthly increment of foreign exchange reserves.It is found that the return factor and these macro variables do have a significant interaction.These quantitative analyses verify our analysis of the linkage mechanism of the bond yield curve between China and the United States from the aspects of the capital cycle, the impact of foreign trade on the real economy of the two countries and the impact of international hot money.It is believed that the capital circulation mode of China's participation in the world economy explains the relationship between the two countries' yield curves, and that the trade between China and the United States can have a very clear impact on American inflation and on the United States yield level factor.The impact of international hot money is more likely to affect China's interest rates and exchange rates.
【學位授予單位】：廈門大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51;F837.12

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