本文選題：利率期限結(jié)構(gòu) + 宏觀經(jīng)濟變量��； 參考：《湖南大學(xué)》2014年碩士論文

【摘要】：利率期限結(jié)構(gòu)是學(xué)術(shù)界和經(jīng)濟界研究的焦點問題之一，以往學(xué)者的研究結(jié)果表明利率期限結(jié)構(gòu)中包含了大量宏觀經(jīng)濟變量的信息。期限結(jié)構(gòu)與宏觀經(jīng)濟間存在著密切的聯(lián)動關(guān)系，量化這種聯(lián)動關(guān)系，對于學(xué)術(shù)研究和投資者的市場操作都意義重大。 本文根據(jù)凱恩斯的利率傳導(dǎo)理論，費雪效應(yīng)和泰勒規(guī)則的內(nèi)容，從理論上分析了利率期限結(jié)構(gòu)與宏觀經(jīng)濟變量間的相互影響。為了印證理論分析的內(nèi)容，本文構(gòu)建了向量自回歸仿射期限結(jié)構(gòu)模型，該模型可以準(zhǔn)確的反映利率期限結(jié)構(gòu)的特征，還可以測度利率期限結(jié)構(gòu)與宏觀經(jīng)濟變量間的雙向影響。實證中本文分別測算我國上海銀行間同業(yè)拆借利率和債券回購利率及其利差與宏觀經(jīng)濟變量間的動態(tài)關(guān)系，通過計算多組利差數(shù)據(jù)對經(jīng)濟增長和通貨膨脹率的預(yù)測能力，以及這兩組宏觀數(shù)據(jù)對利差數(shù)據(jù)的脈沖響應(yīng)、方差分解結(jié)果來量化測度影響程度的大小，以求通過所得數(shù)據(jù)探究我國利率市場與宏觀經(jīng)濟變量的聯(lián)系，同時，以此為據(jù)，，比對我國同業(yè)拆借市場和債券回購市場的市場化程度。 研究結(jié)果表明，我國的利率中確實包含了與宏觀經(jīng)濟相關(guān)的信息。利率期限結(jié)構(gòu)與宏觀經(jīng)濟變量間關(guān)系的強弱與利率的長短期限有關(guān)。我國利率市場化改革成效顯著，拆借利率和回購利率作為我國市場上的準(zhǔn)市場利率，基本上發(fā)揮出了市場利率的作用。出于利率期限結(jié)構(gòu)與宏觀經(jīng)濟變量的緊密聯(lián)系，利率在貨幣政策的選擇和實施中勢必會發(fā)揮越來越重要的作用。
[Abstract]:Term structure of interest rate is one of the focal issues in academic and economic circles. The results of previous studies show that the term structure of interest rate contains a large number of macroeconomic variables.There is a close linkage relationship between term structure and macro economy. Quantifying this relationship is of great significance for academic research and market operation of investors.Based on Keynes' theory of interest rate conduction, Fisher effect and Taylor rule, this paper theoretically analyzes the interaction between term structure of interest rate and macroeconomic variables.In order to confirm the content of theoretical analysis, this paper constructs a vector autoregressive affine term structure model, which can accurately reflect the characteristics of term structure of interest rate and measure the bidirectional influence between term structure of interest rate and macroeconomic variables.In this paper, we calculate the dynamic relationship between Shanghai interbank offered rate and bond repurchase rate, and the difference between interest rate and macroeconomic variables, and calculate the ability of forecasting economic growth and inflation rate by calculating a number of interest rate data.And the impulse response of these two groups of macro data to the data of interest rate difference, the result of variance decomposition to quantify the degree of influence, in order to explore the relationship between the interest rate market and macroeconomic variables through the obtained data, and at the same time, take this as the basis,Compared to the interbank lending market and bond repo market marketization.The results show that China's interest rates do contain macroeconomic information.The relationship between the term structure of interest rate and macroeconomic variables is related to the duration of interest rate.The reform of interest rate marketization in China has achieved remarkable results. As the quasi market interest rate in our market, the interest rate of borrowing and repo has basically played the role of market interest rate.Due to the close relationship between term structure of interest rate and macroeconomic variables, interest rate is bound to play a more and more important role in the choice and implementation of monetary policy.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F124;F832.5

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