我国国债收益率波动及影响因素研究
|
摘要
国债收益率的高低,既影响国家宏观调控,又关系到国家宏观经济的整体运行。本文通过梳理2006年以来我国国债收益率的发展现状及特点,以2006-2017年国债收益率的年度数据为基础,利用向量自回归(VAR)模型实证分析国内生产总值、财政赤字规模和信贷规模对我国国债收益率的影响。结果表明:短期内我国国内生产总值对我国国债收益率影响较大,而长期趋于正面影响,且影响稳定;财政赤字规模和信贷规模均对我国国债收益率有正面效应,尤其财政赤字影响较大。
Whether the yield of national debt is moderate,that is,whether it affects the macro-control of the state is also related to the overall operation of the country's macro-economy.This paper first sorts out the development status and characteristics of the yield of Chinese government bonds since 2006,Then,based on the annual data of bond yields from 2007 to 2016,uses the vector auto repression(VAR) model to analyze the factors affecting the yield of China's government bonds:the scale of fiscal deficit and the size of credit.The results show that both the scale of fiscal deficit and the size of credit have a positive effect on the yield of China's government bonds,especially the impact of credit scale.Finally,this article put forward the corresponding policy recommendations that enhancing the scientific nature and rationality of monetary policy,perfecting the Treasury market monitoring mechanism,setting up a bond fund and adjust the short and long-term debt ratio.
Whether the yield of national debt is moderate,that is,whether it affects the macro-control of the state is also related to the overall operation of the country's macro-economy.This paper first sorts out the development status and characteristics of the yield of Chinese government bonds since 2006,Then,based on the annual data of bond yields from 2007 to 2016,uses the vector auto repression(VAR) model to analyze the factors affecting the yield of China's government bonds:the scale of fiscal deficit and the size of credit.The results show that both the scale of fiscal deficit and the size of credit have a positive effect on the yield of China's government bonds,especially the impact of credit scale.Finally,this article put forward the corresponding policy recommendations that enhancing the scientific nature and rationality of monetary policy,perfecting the Treasury market monitoring mechanism,setting up a bond fund and adjust the short and long-term debt ratio.
引文
[1]Siem Jan Koopman,Michel Van der Wel.Forecasting the U.S.Structure of Interest Rates Using a Macroecono mic Smooth Dynamic Factor Model[J].International Journal of Forecasting,2012(29).
[2]Wail Ullah,Yasumasa Matsuda,Yoshihiko Tsukuda.Dynamics of the Term Structure of Interest Rates and Monetary Policy:Is Monetary Policy Effective during Zero Interest Rate Policy?[J].Journal of Applied Statistics,2014,41(3).
[3]张旭、文忠桥.宏观经济因素对利率期限结构的动态影响——基于Nelson-Siegel模型的实证研究[J].武汉金融,2014(6)
[4]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).
[5]陈浪南、郑衡亮.我国宏观经济变量影响国债利率期限结构的实证研究[J].经济管理,2015(4).
[6]Akram T,Das A.A‘Keynesian explanation of Indian government bond yields’.Journal of Post Keynesian Rconomics[J],2015,38(4)
[7]张远.地方债置换中的资金收益率定价关系研究——基于利率市场化的探讨[J].价格理论与实践,2015(11).
[8]杜玉林.利率市场化背景下国债价格波动范围的研究[J].价格理论与实践,2016(7).
[2]Wail Ullah,Yasumasa Matsuda,Yoshihiko Tsukuda.Dynamics of the Term Structure of Interest Rates and Monetary Policy:Is Monetary Policy Effective during Zero Interest Rate Policy?[J].Journal of Applied Statistics,2014,41(3).
[3]张旭、文忠桥.宏观经济因素对利率期限结构的动态影响——基于Nelson-Siegel模型的实证研究[J].武汉金融,2014(6)
[4]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).
[5]陈浪南、郑衡亮.我国宏观经济变量影响国债利率期限结构的实证研究[J].经济管理,2015(4).
[6]Akram T,Das A.A‘Keynesian explanation of Indian government bond yields’.Journal of Post Keynesian Rconomics[J],2015,38(4)
[7]张远.地方债置换中的资金收益率定价关系研究——基于利率市场化的探讨[J].价格理论与实践,2015(11).
[8]杜玉林.利率市场化背景下国债价格波动范围的研究[J].价格理论与实践,2016(7).