摘要
本文选取2007年1月—2016年6月中国国债即期收益率数据,利用动态Nelson-Siegel模型构造反映国债利率期限结构的水平、斜率和曲率因子,并运用Johansen协整检验、VEC模型等方法考察通货膨胀水平、股票市值与利率期限结构间的行为特征,研究发现:通过Nelson-Siegel模型构造的结构因子体现出利率期限结构的特征;通货膨胀率、股票市值与国债利率期限结构的水平、斜率因子之间存在长期的协整关系,但是通货膨胀水平和股票市值变动对水平因子无显著影响,反映出货币政策向债券市场传导的效率有待完善;长期看来,通货膨胀水平和股票市值均在缩小斜率因子方面效果显著。此外,斜率因子可以预测出通货膨胀水平的变化,为制定和实施货币政策提供前瞻性信息。
This article chooses the dynamic Nelson-Siegel model to build level, slope and curvature factors which can reflect the term structure of interest rate of national bonds, using national bonds yield data from January 2007 to June 2016. The method of Johansen cointegration test, VEC model are used to measure the behavior characteristics be- tween inflation, stock market value and the term structure of interest rates. We find that the structure factors reflect the characteristics of the term structure of interest rates through the Nelson-Siegel model. There exists the long-term cointe- gration relationship between inflation, stock market value and the level and slope factors .However, the change on in- flation and stock market value have little effect on the level factor, which reflects that the transmission efficiency of monetary policy to the bond market needs to be improved. In the long run, the change on inflation and stock market val- ue can narrow the slope factor significantly. In addition, the slope factor can predict the change of inflation and pro- vides forward-looking information for the formulation and imolementation of monetary oolicv.
作者
巴曙松
袁佳
廖慧
Ba Shusong Yuan Jia Liao Hui(China Banking Association, Beijing 100033 Hong Kong Exchanges and Clearing Limited, Hong Kong 999077 Tianjin University of Finance and Economics, Tianjin 300222 Shanghai Stock Exchange, Shanghai 200120)
出处
《金融发展研究》
北大核心
2017年第1期3-10,共8页
Journal Of Financial Development Research
