本文選題：利率期限結(jié)構(gòu) + 收益率曲線��； 參考：《安徽財經(jīng)大學(xué)》2013年碩士論文

【摘要】：對利率期限結(jié)構(gòu)的研究是金融學(xué)領(lǐng)域中備受關(guān)注的課題。當(dāng)前,金融學(xué)者開始結(jié)合經(jīng)濟學(xué)者的宏觀視角,研究利率的期限結(jié)構(gòu)與貨幣政策等宏觀變量之間的相互影響。在我國利率市場化逐步加深的背景下,有必要將兩者結(jié)合在一起研究,考察利率的期限結(jié)構(gòu)在貨幣政策制定中的作用,并利用研究成果服務(wù)于貨幣政策的宏觀調(diào)控。 一方面,中央銀行在面臨經(jīng)濟沖擊時,調(diào)整貨幣政策(如公開市場操作、再貼現(xiàn)率等),影響短期利率,進而引導(dǎo)中長期利率,影響總需求和總收入,最終達到調(diào)控經(jīng)濟的目標(biāo)。利率的期限結(jié)構(gòu)在貨幣政策的傳導(dǎo)過程中發(fā)揮橋梁作用。另一方面,貨幣政策的執(zhí)行存在較長時間的外在時滯,但利率的期限結(jié)構(gòu)中蘊含著有關(guān)未來通貨膨脹以及未來經(jīng)濟形勢的重要信息。利率的期限結(jié)構(gòu)所反映的是金融市場的發(fā)展?fàn)顩r與宏觀經(jīng)濟態(tài)勢,參考其中蘊含的經(jīng)濟信息能夠預(yù)調(diào)微調(diào)貨幣政策,提高有效性和針對性。因此將兩者關(guān)系放在我國現(xiàn)有的國情下具體分析,并找出改進的途徑是有其現(xiàn)實意義的。 本文首先闡述了有關(guān)利率期限結(jié)構(gòu)形成的基本理論和貨幣政策體系的構(gòu)成,對研究的范圍進行界定；然后參照發(fā)達經(jīng)濟體中完善的利率傳導(dǎo)機制,從理論層面分析利率的期限結(jié)構(gòu)與貨幣政策相互影響的關(guān)系；接著,介紹了我國利率期限結(jié)構(gòu)的具體特征和貨幣政策體系的現(xiàn)狀。分析了近期存款準備金率調(diào)整和公開市場操作對上交所國債收益率曲線的影響；在實證部分,選用貨幣供應(yīng)量作為貨幣政策變量,用長短期利差度量不同期限利率的結(jié)構(gòu),采用上交所國債市場的數(shù)據(jù),構(gòu)建了VAR模型,并結(jié)合脈沖響應(yīng)函數(shù)和方差分解作具體分析。 從實證結(jié)果可以看出,寬松的貨幣政策導(dǎo)致利差變大,緊縮性貨幣政策導(dǎo)致利差變小。通過分析利率期限結(jié)構(gòu)的變動,央行可以對貨幣政策的實施效果做出初步判斷。但利差對貨幣供應(yīng)量沖擊的反應(yīng)不迅速,而且不夠顯著。這說明,我國目前現(xiàn)有的收益率曲線對貨幣政策的反應(yīng)不足；以貨幣供應(yīng)量作為中介目標(biāo),不能有效地引起利率期限結(jié)構(gòu)變動；另一方面,利差對未來通貨膨脹的影響呈正向。這與理論推導(dǎo)的影響方向一致。說明我國的收益率曲線對未來通貨膨脹有一定的預(yù)測能力,制定貨幣政策時可以參考利率期限結(jié)構(gòu)中的有效信息。在對我國利率期限結(jié)構(gòu)與貨幣政策的關(guān)系進行制度政策考察時,發(fā)現(xiàn)我國的收益率曲線還不完善,利率期限結(jié)構(gòu)與貨幣政策之間的聯(lián)動性受到債券市場發(fā)展?fàn)顩r、貨幣政策中介目標(biāo)選擇的制約。最后,文章結(jié)合中國具體實際,從完善貨幣政策、發(fā)展債券市場等方面提出相關(guān)政策建議。
[Abstract]:The study of term structure of interest rate is a subject of great concern in the field of finance. At present, financial scholars begin to study the interaction between the term structure of interest rate and the macro variables such as monetary policy. Under the background of our country's interest rate marketization gradually deepening, it is necessary to combine the two studies to investigate the role of term structure of interest rate in monetary policy formulation, and to use the research results to serve the macro-control of monetary policy. On the one hand, the central bank adjusts monetary policy (such as open market operation, rediscount rate, etc.) in the face of economic shock, so as to influence short-term interest rate, then guide medium and long term interest rate, affect aggregate demand and total income, and finally reach the goal of regulating and controlling the economy. The term structure of interest rate acts as a bridge in the transmission of monetary policy. On the other hand, there is a long time lag in the implementation of monetary policy, but the term structure of interest rate contains important information about future inflation and future economic situation. The term structure of interest rate reflects the development of financial market and the macroeconomic situation. Referring to the economic information contained in it, the monetary policy can be adjusted in advance, and the effectiveness and pertinence can be improved. Therefore, it is of practical significance to analyze the relationship between the two and find ways to improve them. This paper first expounds the basic theory of the formation of term structure of interest rate and the composition of monetary policy system, defines the scope of the study, and then refers to the perfect interest rate transmission mechanism in developed economies. The relationship between term structure of interest rate and monetary policy is analyzed theoretically, and then the specific characteristics of term structure of interest rate and the present situation of monetary policy system in China are introduced. This paper analyzes the influence of the adjustment of reserve requirement ratio and the open market operation on the yield curve of Shanghai Stock Exchange. In the empirical part, we choose money supply as the monetary policy variable and measure the structure of different term interest rates by the long and short term interest rate difference. Based on the data of Shanghai Stock Exchange (SSE), the VAR model is constructed, and the impulse response function and variance decomposition are used to analyze the model. From the empirical results, we can see that the loose monetary policy leads to the increase of the spread, and the contractionary monetary policy leads to the smaller spread. By analyzing the change of interest rate term structure, the central bank can make a preliminary judgment on the effect of monetary policy. But the interest rate difference to the money supply shock response is not quick, and is not obvious enough. This shows that the current yield curve of our country is not responding enough to monetary policy; taking money supply as the intermediate target can not effectively cause the change of term structure of interest rate; on the other hand, the influence of interest rate difference on future inflation is positive. This is consistent with the direction of influence derived from the theory. It shows that the yield curve of our country has certain ability to predict the future inflation, and the effective information in the term structure of interest rate can be referred to in the formulation of monetary policy. When we investigate the relationship between term structure of interest rate and monetary policy, we find that the yield curve of our country is not perfect, and the linkage between term structure of interest rate and monetary policy is affected by the development of bond market. The restriction of monetary policy intermediary target selection. Finally, the paper puts forward some policy suggestions from the aspects of perfecting monetary policy and developing bond market.
【學(xué)位授予單位】：安徽財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F822.0;F832.5

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