中国国债利率期限结构突变与动因分析——基于无套利宏观金融模型的视角

发布时间：2018-04-24 01:40

本文选题：结构突变 + 利率期限结构　；参考：《南方经济》2017年04期

【摘要】：已有研究表明中国宏观经济和金融市场近20年来表现出区制转换和非线性特征,在此背景下国债市场是否也存在结构性变化,将关系到利率模型的稳定性和经济政策的效果。文章基于未知间断点的结构突变方法实证检验2002年到2015年间中国国债利率期限结构,并通过把新凯恩斯动态一般均衡框架嵌入仿射无套利期限结构模型中,解释突变的宏观动因。结果认为,受2005年金融市场一系列重大改革的累积和联动影响,中国国债利率期限结构于2005年11月发生了显著的结构变化;间断后由于市场风险水平降低,货币政策波动性减小,所以利率偏离预期假说的程度锐减;与货币政策相关的斜率因子风险价格的减小是突变的关键动因。
[Abstract]:Previous studies have shown that China's macroeconomic and financial markets have shown regional transition and nonlinear characteristics in recent 20 years. In this context, whether there are structural changes in the national debt market will affect the stability of the interest rate model and the effect of economic policies. This paper empirically tests the term structure of Chinese government bond interest rate from 2002 to 2015 based on the method of structural mutation with unknown discontinuities, and embeds the new Keynesian dynamic general equilibrium framework into affine no-arbitrage term structure model. Explain the macro causes of mutation. The results show that due to the cumulative and linkage effects of a series of major reforms in the financial market in 2005, the term structure of the interest rate of Chinese government bonds changed significantly in November 2005, and after the break, the level of market risk decreased. The volatility of monetary policy is reduced, so the degree of interest rate deviating from the expected hypothesis is sharply reduced, and the decrease of risk price of slope factor related to monetary policy is the key cause of the sudden change.
【作者单位】：东北财经大学经济学院;山西大同大学数学与计算机学院;东北财经大学数学学院;
【基金】：国家自然科学基金面上项目“我国通胀预期和风险溢价与宏观因子作用机制的计量研究”(项目批准号:71273044) 国家自然科学青年基金项目“分形市场中分数阶导数期权定价模型的建立、解法与应用研究”(项目批准号:71501031) 辽宁省社科规划基金项目“辽宁省城乡居民收入差距:演进、控制及影响”(项目批准号:L13DJY069)资助
【分类号】：F812.5;F832.51

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