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本文以中国银行间市场交易的国债为研究对象,运用高斯仿射模型和卡尔曼滤波估计法得到1~7年期债券的期限溢酬。研究结果表明:债券的期限溢酬显著存在,且随着债券期限的增加而增加;债券的期限溢价在经济萧条时增加,在经济繁荣时则下降;期限溢酬与货币变量和宏观流动性的关系更为紧密,而与经济增长的影响关系较弱。
In this paper, the government bonds traded in China’s inter-bank market are taken as the research object, and the term premiums of 1-year to 7-year bonds are obtained using the Gaussian affine model and the Kalman filter estimation method. The results show that the term premium of the bond exists significantly and increases with the maturity of the bond. The term premium of the bond increases during the recession and declines when the economy prospers. The term premium, the variable of the term and the macro-liquidity The relationship is more closely related, but less so with the impact of economic growth.