期限溢价的跨境传递和中美长期利率的联动——基于“非跨越宏观因子”期限结构模型的研究

发布时间：2017-12-30 21:51

本文关键词：期限溢价的跨境传递和中美长期利率的联动——基于“非跨越宏观因子”期限结构模型的研究　出处：《金融经济学研究》2017年03期 　论文类型：期刊论文

【摘要】：以2006年3月至2016年9月季末值的国债即期收益率为样本,利用"非跨越宏观因子"无套利仿射动态利率期限结构模型,将国债长期利率分解为短期利率预期均值和期限溢价两部分,实证研究发现中美国债长期利率的联动主要来自期限溢价,而非短期利率预期均值,从而解释了中美国债利率"短端相互独立,长端相互联动"的现象。期限溢价的跨境传递在一定程度上可用"全球金融周期"的机制加以解释,意味着两国金融市场的联系不仅仅是资金价格和数量的传递,还关系到风险的传递。基于研究结论,建议中国降低政策不确定性,做好外部风险和利率预期机制;实施宏观审慎政策,减轻"市场风险"的跨境传递;加强货币和金融的国际合作,积极推进人民币国际化。
[Abstract]:From March 2006 to 2016 9 at the end of the value of bonds rose spot rate as the sample, using "unspanned macro factor" no arbitrage model affine dynamic term structure of interest rate debt, long-term interest rates into short-term interest rates are expected to the two part of the mean and the term premium, the empirical study finds that the US Treasury bonds in long-term interest rates linkage mainly from the term premium, rather than the average short-term interest rate expectations, thus explaining the American debt interest rate "the short end of the long end are independent of each other, mutual linkage mechanism of cross-border phenomenon. The term premium transfer available" to a certain extent, the global financial cycle "to explain the means of the financial market is not only linked to the price and quantity of transfer of funds, but also the relationship between to the risk transfer. Based on the research conclusions, suggestions Chinese reduce policy uncertainty, good external risk and interest rate expectations mechanism; the implementation of macro Prudential policy, reduce the" market The cross-border transmission of risk, strengthening the international cooperation of money and finance, and actively promoting the internationalization of RMB.

【作者单位】：北京大学经济学院;
【分类号】：F831.51
【正文快照】： 一、引言利率是一国经济和金融市场上最重要的一个变量,其变化趋势和影响因素历来受到政策制定者和市场投资者的广泛关注,尤其是在利率变化趋势可能发生反转的情况下,目光会更加聚焦在利率变动的问题上。正如当前的形势,美国结束长达数年的非常规宽松货币政策,结束资产购买计

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