货币政策、企业债利率与利差期限结构关系的实证分析
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摘要
文章使用函数型数据分析方法,对我国货币政策沿国债收益率曲线向企业债及其利差曲线传导的有效性进行了实证研究。研究结果表明:货币政策向国债期限结构的传导效应已经较为显著,但是存在信息损失,国债市场存在市场分割特征;企业债收益率曲线在很大程度上受国债曲线的引导,信用等级越低,影响越大;利率上升、期限加长、企业债券信用等级下降均会提高企业的融资成本,企业债券的违约风险加大,投资者要求更多的溢价补偿。
This paper employs functional data analysis method to empirically study the effectiveness of monetary policy transmission to the curve of corporate bond and its spreads along the yield curve of government bond. The analysis results are shown as follow: the conduction effect from monetary policy to term structure of government bond is relatively significant, but there exists information loss, and characteristics of market segmentation in the government bond; the corporate bond yield curve is largely subjected to the curve of government bond, the lower the credit rating, the greater the impact; interest rates rising, term prolonged and decline of corporate bond's credit rating will all increase the financing cost of the enterprises, together with corporate default risk and investors may require more premium compensation.
This paper employs functional data analysis method to empirically study the effectiveness of monetary policy transmission to the curve of corporate bond and its spreads along the yield curve of government bond. The analysis results are shown as follow: the conduction effect from monetary policy to term structure of government bond is relatively significant, but there exists information loss, and characteristics of market segmentation in the government bond; the corporate bond yield curve is largely subjected to the curve of government bond, the lower the credit rating, the greater the impact; interest rates rising, term prolonged and decline of corporate bond's credit rating will all increase the financing cost of the enterprises, together with corporate default risk and investors may require more premium compensation.
引文
[1]马骏,王红林.政策利率传导机制的理论模型[J].金融研究,2014(12).
[2]Nelson C R,Siegel A F.Parsimonious Modeling of Yield Curves[J].The Journal of Business,1987,60(4).
[3]Diebold F X,Li C.Forecasting the Term Structure of GovernmentBond Yields[J].Journal of Econometrics,2006,130(2).
[4]潘敏,夏庆,刘小燕等.汇率制度改革、货币政策与国债利率期限结构[J].金融研究,2011,(11).
[5]潘敏,夏庆,张华华.货币政策周期与国债利率期限结构[J].财贸研究,2012,(1).
[6]Kung H.Macroeconomic Linkages Between Monetary Policy and theTerm Structure of Interest Rates[J].Journal of Financial Economics,2015,115(1).
[7]刘澜飚,沈鑫,王博.中国宏观经济对国债利率期限结构的影响研究——基于动态随机一般均衡模型的分析[J].金融研究,2014,(11).
[8]孙皓,石柱鲜.中国的货币政策与利率期限结构:基于宏观—金融模型的研究途径[J].经济科学,2011,(1).
[9]Andersson M,Dillén H,Sellin P.Monetary Policy Signaling andMovements in the Term Structure of Interest Rates[J].Journal of Mon-etary Economics,2006,53(8).
[10]Brand C,Turunen J,Buncic D.The Impact of ECB Monetary PolicyDecisions and Communication on the Yield Curve[J].Journal of theEuropean Economic Association,2010,8(6).
[11]Bikbov R,Chernov M.Monetary Policy Regimes and the Term Struc-ture of Interest Rates[J].Journal of Econometrics,2013,174(1).
[12]Filipova K,Audrino F,De Giorgi E.Monetary Policy Regimes:Impli-cations for the Yield Curve and Bond Pricing[J].Journal of FinancialEconomics,2014,113(3).
[13]刘金全,王勇,张鹤.利率期限结构与宏观经济因素的动态相依性——基于VAR模型的经验研究[J].财经研究,2007,33(5).
[14]石柱鲜,孙皓,邓创.中国主要宏观经济变量与利率期限结构的关系:基于VAR-ATSM模型的分析[J].世界经济,2008,(3).
[15]梁琪,张孝岩,过新伟.中国金融市场基准利率的培育——基于构建完整基准收益率曲线的实证分析[J].金融研究,2010,(9).
[16]Ramsay J O,Silverman B W.Functional Data Analysis(Second ed)[M].New York:Springer Publishing Company,2005.
[17]王一鸣,李剑峰.我国债券市场收益率曲线影响因素的实证分析[J].金融研究,2005,(1).
[2]Nelson C R,Siegel A F.Parsimonious Modeling of Yield Curves[J].The Journal of Business,1987,60(4).
[3]Diebold F X,Li C.Forecasting the Term Structure of GovernmentBond Yields[J].Journal of Econometrics,2006,130(2).
[4]潘敏,夏庆,刘小燕等.汇率制度改革、货币政策与国债利率期限结构[J].金融研究,2011,(11).
[5]潘敏,夏庆,张华华.货币政策周期与国债利率期限结构[J].财贸研究,2012,(1).
[6]Kung H.Macroeconomic Linkages Between Monetary Policy and theTerm Structure of Interest Rates[J].Journal of Financial Economics,2015,115(1).
[7]刘澜飚,沈鑫,王博.中国宏观经济对国债利率期限结构的影响研究——基于动态随机一般均衡模型的分析[J].金融研究,2014,(11).
[8]孙皓,石柱鲜.中国的货币政策与利率期限结构:基于宏观—金融模型的研究途径[J].经济科学,2011,(1).
[9]Andersson M,Dillén H,Sellin P.Monetary Policy Signaling andMovements in the Term Structure of Interest Rates[J].Journal of Mon-etary Economics,2006,53(8).
[10]Brand C,Turunen J,Buncic D.The Impact of ECB Monetary PolicyDecisions and Communication on the Yield Curve[J].Journal of theEuropean Economic Association,2010,8(6).
[11]Bikbov R,Chernov M.Monetary Policy Regimes and the Term Struc-ture of Interest Rates[J].Journal of Econometrics,2013,174(1).
[12]Filipova K,Audrino F,De Giorgi E.Monetary Policy Regimes:Impli-cations for the Yield Curve and Bond Pricing[J].Journal of FinancialEconomics,2014,113(3).
[13]刘金全,王勇,张鹤.利率期限结构与宏观经济因素的动态相依性——基于VAR模型的经验研究[J].财经研究,2007,33(5).
[14]石柱鲜,孙皓,邓创.中国主要宏观经济变量与利率期限结构的关系:基于VAR-ATSM模型的分析[J].世界经济,2008,(3).
[15]梁琪,张孝岩,过新伟.中国金融市场基准利率的培育——基于构建完整基准收益率曲线的实证分析[J].金融研究,2010,(9).
[16]Ramsay J O,Silverman B W.Functional Data Analysis(Second ed)[M].New York:Springer Publishing Company,2005.
[17]王一鸣,李剑峰.我国债券市场收益率曲线影响因素的实证分析[J].金融研究,2005,(1).