【作者】 王峰；

【导师】 张晏诚； 张惟；

【作者基本信息】 上海交通大学 ， 工商管理， 2014， 硕士

【摘要】 利率，是现代宏观经济学和金融学研究领域最主要的课题之一。利率可以看作是现代金融领域资产定价的基础，同时也是国家宏观调控的重要手段。国债的利率期限结构是指不同到期国债的收益率与期限的关系，这里的收益率指的是即期收益率。目前针对利率期限结构变动的研究主要包括三个方面：利率整体水平的上升或下降表现为利率期限结构曲线的水平移动，长期利率和短期利率之差的变动表现为曲线斜率的改变。另外，当中期利率和长短期利率呈现相反的变动方向时，曲线的曲度会发生变化。目前我国的债券市场包括银行间市场和交易所市场，并且以银行间市场为主导。国债是由财政部发行的政府债券，其收益率常被视作市场的基准利率。债券市场和宏观经济的变化息息相关，比如通货膨胀率的上涨往往导致利率水平的上升，央行采取宽松的货币政策往往引起长期利率和短期利率之差变大。因此本文选择宏观经济变量对我国银行间国债利率期限结构的影响作为研究对象，寻找二者之间的定量关系。本文选取的样本为所有在银行间市场交易的零息利率和固定利率国债，样本区间为2010年1月至2013年12月，共计48个月。首先采用Nelson-Siegel模型静态拟合每月的利率期限结构曲线，并提取代表曲线特征的水平因子、斜率因子和曲度因子。然后采用主成分分析法，提取代表经济增长、通货膨胀和货币政策三个宏观因素的第一主成分。最后，用VAR模型对上述六个变量之间的关系进行分析，采用脉冲响应函数和方差分解技术研究三个经济因素对利率期限结构的三个潜在因子的影响。研究表明，我国银行间国债利率期限结构与宏观经济变量之间确实存在着一定的关系，其对宏观变量的冲击响应在当月就体现出来，这种响应一般会持续2到4个月。市场对宏观变量的冲击往往会过度响应，但是会在接下来的一个月进行适度修正。同时需要指出的是，利率期限结构与宏观变量间的联系并不是很紧密，尤其是对曲度的解释。更多还原

【Abstract】 The research of interest rates, is one of the most important subjects in thefield of modern macroeconomics and finance. Interest rates can be regardedas the price of financial assets, and it is also an important macro-controlmethod. Term structure of interest rates is the relationship between the yieldof different bonds and their maturities. Nowadays, the research of the termstructure focuses on these three aspects: how does the overall level of interestrates rise or fall, how does the difference between long-term and short-terminterest rates changes, and how does the curvature of the term structurechange.At present, China’s bond market includes two markets: the interbankmarket and exchange market, and the interbank market is the dominant.Government bond is the bond issued by the Ministry of Finance, whoseinterest rate is often regarded as the benchmark rate. In the real world, bondmarket is closely related to the macro-economy, for example, the increase ofinflation rate will lead to higher interest rate, and the loose monetary policywill always cause the increase long-term and short-term interest spread.Therefore, I choose this subject to look for the quantitative relationshipbetween them.The sample includes all the zero and fixed rate government bond in theinterbank market, and its interval is from January2010to December2013.Firstly, I fit the term structure of interest rates each month using Nelson-Siegel model, and extract three factors, which represent the curve’s level,steepness and curvature. Secondly, I use the Principal Component Analysismethod to extract three principal factors which represent economic growth, inflation and monetary policy separately. Finally, I use VAR model toanalyze the relationship between the above six variables.The research shows that, there does exist a certain relationship betweenthe term structure and macroeconomic variables. The term structure willresponse to the change of macroeconomic variables in the same month, andwill last2to4months usually. Besides, the response is often excessive, butwill moderate itself in the next month. Actually, the relationship between theterm structure and the macroeconomic variables is not very close, especiallyfor the curvature interpretation.更多还原