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本文选取2005~2013年中国银行间市场国债交易数据,借助动态NS模型提供的水平、斜率和曲度因子刻画利率期限结构特征,基于结构突变检验方法,实证判别了利率期限结构与宏观经济因素之间影响关系的稳定性。结果表明:利率期限结构存在显著的结构变化特征,而基于三类动态因子结构突变点进行分段回归的效果,明显优于固定系数模型的回归效果,且系数的估计结果存在显著性差异,说明宏观经济因素对利率期限结构的影响显著,但并不稳定,其影响结果依赖于人们关于宏观经济运行的预期。因此,政府在政策选择过程中必须有的放矢,以提升政策制定的合理性和有效性。
This paper selects the national debt data of China’s inter-bank market from 2005 to 2013, and uses the horizontal, slope and curvature factors provided by the dynamic NS model to characterize the term structure of the interest rate. Based on the structural mutation test, the paper empirically discriminates the term structure of the interest rate and macroeconomic factors The stability of the relationship between the impact. The results show that there are significant structural changes in the term structure of the interest rate. However, the regression results based on the mutation points of the three types of dynamic factor structure are obviously better than those of the fixed coefficient model, and there are significant differences in the estimation results Macroeconomic factors have a significant, but not stable, impact on the term structure of interest rates, and their impact depends on people’s expectations of macroeconomic performance. Therefore, the government must be targeted in the process of policy selection so as to enhance the rationality and effectiveness of policy making.