【作者】 夏潆焱；

【导师】 刘锡良；

【作者基本信息】 西南财经大学 ， 金融学， 2008， 博士

【摘要】 作为资金的价格,利率是经济、金融活动中最为基本和重要的概念,在金融理论和实践中备受关注。概括而言,对于利率问题的研究主要可以分为两个方面:一是对利率水平的研究,也就是关注利率的高低程度,解释利率为何如此高或如此低;二是对利差的研究,如解释长期利率为何比短期利率要高。后者关注的是不同期限利率的差异,也就是利率与期限的关系,这一关系被称为利率的期限结构。在成熟的金融市场中,利率期限结构是金融工具,尤其是固定收益证券和金融衍生产品定价的基准,因而受到广泛关注和运用。几十年来,国外理论界对利率期限结构进行了大量理论与实证研究,取得了丰富的成果。本文的目的是在吸收国外研究成果的基础上,结合中国的实践,对我国的利率期限结构问题进行研究,在特殊的市场环境下分析我国利率期限结构的特征,重点研究影响我国利率期限结构形成和变动的经济因素,进而对目前利率期限结构的信息功能进行评价,并探讨完善利率期限结构形成机制的途径。根据这一思路,全文共分为六章:第一章是“利率期限结构的一般分析”。首先将本文的研究对象界定为国债的利率期限结构,并厘清了利率期限结构研究中涉及的基本概念,然后对利率期限结构的静态估计方法进行比较和归纳,进而分析利率期限结构中包含的信息,以阐述利率期限结构在金融体系中的作用。第二章是“理论与实证文献回顾”。本章按照利率期限结构理论发展的逻辑路径对相关文献进行梳理和评述,为其后的实证研究提供理论基础。大致而言,利率期限结构的理论研究可以划分为“传统”和“现代”两类,前者的研究重点是长期利率与短期利率的关系,即收益率曲线的形状;后者的研究重点是利率期限结构尤其是短期利率的动态演化。对于传统的利率期限结构理论,主要评述了纯预期、流动性偏好、市场分割和优先栖息地理论,及其逻辑联系;对于现代利率期限结构理论,主要回顾了均衡和套利两类模型,同时也涉及了市场模型、无限维模型等最新进展。此外,对于国内外学者具有代表性的经验研究文献也进行了综述。第三章是“中国利率期限结构的特征分析”。对利率期限结构进行特征分析,有助于我们对中国利率期限结构获得直观的、初步的认识。首先描述我国国债市场的发展现状,在此市场背景下揭示我国利率期限结构的特征。一方面,从基础数据、基准作用等方面对我国利率期限结构的特征进行定性描述;另一方面,侧重于对我国现阶段利率期限结构的数量特征进行分析,包括基本统计特征的描述以及相关性和平稳性的统计检验。第四章是“中国利率期限结构形成的影响因素”。在利率期限结构形成的过程中,对未来利率水平的预期具有重要影响。利率期限结构的预期理论认为,当期的利率期限结构包括未来利率变化的信息,如果预期理论成立,则收益率曲线的斜率可以预测未来利率的走势,因此,预期理论成为解释收益率曲线形状的最常用工具,并受到债券市场参与者,尤其是货币政策当局的关注。本章运用一些具有代表性的检验方法来对预期理论能否解释我国的利率期限结构进行实证分析,这些方法包括线性回归、协整及VAR等;最后结合我国利率期限结构的数量特征,对检验结果的理论意义以及检验模型、数据的质量进行了评价。第五章是“中国利率期限结构变动的影响因素”。对预期理论的检验实际上是考察静态的利率期限结构形成的决定因素;然而,诸多因素使得利率的未来变化十分复杂,利率期限结构的动态过程也表现出不同的形式。本章主要对我国近两年的利率期限结构变动及其影响因素进行分析。首先运用因子分析法对利率期限结构移动的形式进行分析;在此基础上,考察宏观经济变量,包括工业增加值、广义货币供应量、消费价格指数、同业拆借7天回购利率等对利率期限结构的水平、斜度及曲度移动的影响,据此理解驱动利率期限结构动态变化的经济力量;进一步,还检验了货币政策公告对利率期限结构变动的效应。第六章是“完善我国利率期限结构的形成机制”。本章在对前三章实证分析结果进行总结的基础上,进一步讨论了我国利率期限结构中的信息。实证结果表明,单纯的经济因素并不能对我国的利率期限结构提供完全的解释,这在很大程度上制约了利率期限结构的信息功能。针对我国国债市场对利率期限结构形成的制约因素,建议从改进国债发行机制、丰富国债期限品种结构、提高国债流动性及建立统一的多层次国债市场等方面来加强国债市场的制度建设,进而促进利率期限结构的形成机制更加完善。本文运用利率期限结构的理论,对我国国债的利率期限结构进行实证研究,得到以下主要结论:1、国债市场的分割与交易限制对我国的利率期限结构具有重要影响,并导致银行间市场与交易所市场的国债利率期限结构之间存在着较大差异。从两个市场国债指数的相关性来看,交易所国债市场的价格发现效率要高于银行间国债市场。从利差来看,银行间市场的中短期利差波动较大,而上交所市场的长短期利差波动相对较大;在某些时段,两个市场的利差还出现了变动方向相反的情况,这在一定程度上制约了国债收益率曲线的代表性和基准性。2、我国目前的利率期限结构呈现出两个基本特征:一是长期利率与短期利率的波动行为基本一致,并且几乎在所有时点上,较长期限利率都比较短期限利率高,即存在正的利差,这说明在我国的利率期限结构中存在着期限溢价;二是中长期利率序列是平稳的,即具有均值回复的特点,而1年以下(包括1年)的短期利率是非平稳的,不具有均值回复性。3、运用线性回归模型和VAR模型对上交所国债利率期限结构进行实证检验,没有证据支持预期理论成立,也就是说,我国国债收益率曲线的形状并不能够对未来利率变化的预测提供有用的信息。此外,平均而言,收益率曲线的长端是向下倾斜的,特别是在15至20年期之间,换句话说,20年期零息债券的收益率低于15年期零息债券的收益率。这些现象反映出,在我国利率期限结构形成的影响因素中,预期并不能够起唯一的决定作用,债券的“凸性”等也会影响收益率曲线的形状。4、我国利率期限结构的移动主要受到水平、斜度及曲度因素的影响,这三个因素就能够解释上交所利率期限结构大约95%的方差变化,这与国外同类研究的结论比较接近。但是,在样本期间内,水平因素并不是驱动上交所国债收益率变动的主要力量,收益率曲线的倾斜变动较为普遍,斜度因素的解释力达到了较高的水平,这与国外的大部份实证研究有较大的差异;另外,与国外的实证结果比较,曲度因素对我国收益率曲线的解释程度也相对较高。斜度因素与曲度因素对我国收益率曲线变动的决定性影响在一定程度上证明了我国国债市场的低效率,国债市场以及收益率还远远不能代表和反映宏观经济状况以及社会资金利率水平,国债市场规模、流动性及参与者行为等特殊因素导致了利率变动的复杂性。5、宏观经济中的较多变量都会对收益率曲线的斜度产生影响,其中,能够体现货币政策的相关变量,如同业拆借利率、消费价格指数等的影响力较强,表明我国利率期限结构的倾斜移动主要受到货币政策的影响。影响国债收益率曲线水平移动的主要变量是反映市场资金面状况的广义货币,在市场资金十分宽松的情况下,几乎各个期限的国债品种都可能出现价格上升,即收益率下降,导致收益率曲线出现较小幅度的向下平行移动。曲度的变动受到上证指数、广义货币和消费价格指数的综合影响。6、货币政策调整的公告一般都会对国债收益率产生影响,影响的持续性和显著性取决于政策工具强度、市场预期等因素;从利率期限结构来看,货币政策能够影响的主要是收益率曲线的短端,而中长端可能更多受到机构投资者行为的影响。这一现象反映出我国的利率期限结构还不能发挥利率传导的作用。论文侧重从数量分析的角度对我国利率期限结构的特征、影响因素进行研究,为探索完善利率期限结构的途径提供定量依据。本文的创新之处主要表现为:1、本文运用线性回归、协整检验及向量自回归等多种计量经济学方法对预期理论在中国的适用性进行了实证检验,并对几种方法进行了综合比较和分析。其中,对向量自回归方法的运用在国内具有创新性。2、将事件研究法运用于研究货币政策公告对利率期限结构的效应,得出的结论能够较好地解释客观实际。3、本文的数量分析结果证实了一些直觉的判断,据此形成了一些有价值的观点,包括交易所国债市场比银行间市场具有更高的价格发现效率;货币政策主要影响利率期限结构的短端,我国目前的利率期限结构尚难以发挥利率传导功能等。更多还原

【Abstract】 Interest rate is the most basic and important concept in the economic and financial field.The summary says, research on interest rate may include two aspects.One is about interest rate level research, the other is about interest spread. The latter pays attention to the relationship between short- and long-term interest rates,which is called term structure of interest rates or yield curve.In mature financial market, the term structure of interest rates is a price datum of financial instruments, such as fixed-income securities and financial derivatives .For several dozens years, overseas theorists have carried on massive theoretical and emiprical research on the term structure of interest rates.This article talks about the term structure of interest rates in China,from the multiple angles of characteristics,influential facters and information function. Thus,this article is expected to offer some reference and theoretical support for the construction of term structure in China that is more perfect and efficient.Based on the train of thoughts,the article devotes six chapters to study the related issues.Chapter One makes a general analysis on the term structure of interest rates.This chapter first clarifies the key concepts, then sets forth some estimate mehtods and their interrelations,that of term structure of interest rates.Last,it discusses the information contained in term structure.Chapter Two reviews the academic literature on the term structure according to the logical relation of each other,building theoretical basis for the follow-up empirical research. Basiclly,these literature can be classified two categories:traditonal and modern theory. Regarding the former,this chapter mainly narrates and comments the expecations hypothesis, liquidity preference, market segmentation and preferred habitat theories. Regarding the latter, it reviews the dynamic models of term structure including equilibrium and arbitrage models, also involves the latest progress such as market model, the infinite-dimension.Chapter Three carries on the characteristic research to the term structure in China. It first describes the development of China’s treasury bonds market and then analyzes the characteristics of term structure under the special market environment. On the one hand, it carries on the qualitative description to the characteristics of term structure in China from aspects and so on foundation data, datum function. On the other hand, stresses in quantative analysis including statistic characteristics as well as correlation and stationary test.Chapter Four tests the expecations hypothesis of the term structure of interest rates in China.Expecations hypothesis argues that expecations about futuer interest determinate the shape of yield curve,thus there is information of future interest level in the term structure. This chapter makes empirical test on whether EH holds in China with various classic methods,such as linear regression,cointegration and VAR and so on. At the end, it examines the quality of data and models itself,furthmore interprets the theoretical significance of these empirical evdience.Chapter Five is devoted to the research how economic factors affect the movement of term structure of interest rates. Actually,the test on EH is to inspect the determining factor of term structure. However, the dynamic characteristics of term structure is extremely complex for there are many factors cause the term structure shift.This chapter tries to find what factors moved the term structure of interest rates in China during the past two years. First, it analyzes the shift characterics of term structure by factor analysis,resultly extracts three common factors of level,steepness and curvature.Then,it tests how some macro economic variables affect the movement of term structure.Finally,this chapter tests the influence of unscheduled monetary policy announcements on the term structure.Chapter Six further dissusses the information fuction of term structure in China, based on the empirical research results.It is found that economic factors cannot provide the complete explanation to the movement of term structure in China, and this has to a great extent restricted fuction of term structure. In view of these factors which restrict term structure, this chapter suggests to promote the formation mechanism of term structure more perfect by improve treasury bonds offer,enrich the variety of bonds’term and so on.On the basis of term structure of interest rates theories, this thesis conducts the empirical research on the term structure in China, and obtains following conclusion: 1. The segment of treasury bonds market causes the difference term structure of interest rates between the interbank market and exchange market.To some extent,it weaken the representation and datum of term structure.2. The term structure of interest rates in China presents two basic characteristics. First,the behavior of long-term interest rate is consistent with that of short-term interest rate,and at any time, the long-term rate is higher than short-term one.It suggests that there is term premium.Second,long-term interest series is stationary and mean-reversion while short-term interest rate is not.3. There is no evidence to support EH in China,in other words,the shape of yield curve cannot provide the useful information about future interest rate level.Additionally, the long end of yield curve is downward on average, and this feature suggests that convexity can affect the shape of yield curve besides the expectation.4. Three factors of level,steepness and curvature can explain almost 95% of variance of term structure,which is quite close to the overseas research conclusion.Nevertheless, in the sample period, steepness but level dominated the shift of yield curve,which is different from the foreign schalor’s rusults. Moreover, compared with the overseas empirical result, explanation of curvature to term structure is stronger.5. Many macro economic variables influence steepness of term structure of interest rates.Hereinto,variables relate to monetary policy such as CHIBOR,CPI exert strong influence on the steepness.It is mainly M2 indicating the scale of fund in bond market affects the level of term structure.,while the curvature is influenced by Shanghai stock index,M2 and CPI.6. Generally, the monetary policy announcement has impact on the yield of treasury bonds.The persistence and significance of influence depends on the strength of instrument and the market expectation.As for the yield curve, monetary policy mainly affects the short end rather than long end,the latter is affected by the institutional investor’s behavior.It shows that term structure of interest rates in China cannot play a role in the transimssion mechanism of interest rate.The contributions of this thesis are mainly embodied in some innovations:1. The thesis makes empirical test on EH of term structure in China with varrious methods.Hereinto,It is rare in domestic research to test EH by VAR method.2. Event methodology is applied in analyzing the influence of monetary policy announcement on term structure of interest rates,the conclusion of which explains well the realities.3. Based on the empirical research conclusion, this article confirms some valuable viewpoints such as the exchange bond market is more efficiency than interbank market, the term structure of interest rates in China cannot play a role in the transimssion mechanism of interest rate.更多还原