国债价格影响因素的理论与实证研究
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摘要
从2008年的金融海啸到2011年的欧债危机,再到目前的后QE时代,均可看出国债在金融市场,乃至于整个全球经济都扮演着一个非常重要的角色。它不仅是反映了一个国家的宏观经济条件,也反映了一个国家的财政状况,国债价格(到期收益率)更是众多金融商品的评价基础。另外,金融海啸后,各国纷纷透过宽松货币政策引导中长天期国债到期收益率下滑,间接刺激民间消费,降低政府支出与民间企业借贷成本,使得经济逐渐复苏,有此可见,国债与国债市场的重要性。而面对如此重要的金融商品与市场,我们应该对它进行更深刻的研究与分析。
本文目的在于探讨宏观经济指标与国债到期收益率间的因果关系,应用时间序列数据进行面板数据回归模型实证分析,找出影响国债到期收益率波动的因素,并进一步探讨在浮动汇率体制及在管理浮动汇率体制下,大小开放经济体汇率对债券到期收益率的影响。本研究以十年期国债到期收益率(BYR)为因变量,汇率(EXR)、股价指数(Stock)、央行基准利率(CBR)、原油期货价格(OP)、 GDP同比(gGDP)、CPI同比(gCPI)为自变量,对从2001年1月至2012年6月期间内共计1380个月度资料进行了研究和分析。
实证结果发现,在计量检验所建议采取的随机效应模型下,对于大型开放经济体,汇率对国债到期收益率的影响显着为正向,而对于小型开放经济体,汇率对国债到期收益率的影响方向则显着为负向。不管是发生金融海啸还是欧债风暴前后,无论大小经济体,其10年期国债到期收益率与央行基准利率和物价年增长率的关系都是正向且显着的；与西德州原油期货的关系则是负向且显着的。
本文创新之处在于以往的学术研究或金融实务上,在探讨宏观经济指标与国债价格(利率)关系时,并未就经济体规模大小所产生的影响,进行研究分析,本文在探讨国债价格与宏观经济指标关系时,将经济体规模纳入考量。尤其是在探讨汇率与国债到期收益率关系时,直观上,对于两者的关系判断,皆为正向,但本文利用面板数据模型,并将经济体规模纳入考量之后,所得出来的结果与直观判断上不同,例如,小型经济体的汇率与国债利率之间的关系即为负向。
From2008financial tsunami,2011European debt crisis, to current era of Post-QE, we all can see that government bond plays a very important role in today's financial market, and global economy. It is not only a reflection of a country's macro-economic conditions, but also reflects a country's fiscal situation. Moreover, bond prices (Yield to Maturity, YTM) is the basis for the evaluation of financial instruments. In addition, after2008financial tsunami, a lot of countries have lowered their interest rate to guide the longer term treasury yield falling down, in turn, indirectly stimulated the consumption of private sector, and reduced the borrowing cost of government and private sector. As a result, the global economy has gradually recovered. Therefore, we need pay more attention on government bond and government bond market.
This article is to investigate the causality relationship between the macroeconomic, market or environment variables, and government bond yields. Through the time series data and empirical analysis, we will be able to identify the factors of fluctuations of bond yields. Furthermore, this article is intend to inspect the relationship between foreign exchange rate and government bond yield, giving the different sizes of economy under the floating exchange rate system and managed floating rate system. In this study, ten-year government bond yield (BYR) has been chosen as explained variable. And, exchange rate (EXR), stock price index (Stock), central bank benchmark interest rate (CBR), CME crude oil futures price (OP), GDP growth rate (gGDP, year-on-year), CPI growth rate (gCPI, year-on-year) are explanatory variable. This study makes use of monthly data taken from January2001to June2012, ended up with samples amounting to1380.
This paper uses descriptive statistics, stationary test, Panel data model, fixed effects test, and random effects test. And, the empirical results reveal that the exchange rate would positively impact on government bond yield for the big open economy, while the influence should be reverse for the small open economy. Regardless of2008financial tsunami,2011European sovereign-debt crisis, and sizes of economy, the central bank benchmark interest rate and CPI growth rate would positively impact on government bond yield. On the other hand, the CME crude oil futures price would negatively impact on government bond yield.
The innovation of this paper is that when we analyze the relationship between economic indicators, such as stock index and foreign exchange rate, and government bond price (yield), we did not consider the size of an economy (country) before. For example, exchange rate. Intuitively, we think government bond yield and exchange rate are in positive relationship. However, after we took the size of an economy (country) into account, and use panel date regression model. We found that for a small economy (country), they are in negative relationship.
本文目的在于探讨宏观经济指标与国债到期收益率间的因果关系,应用时间序列数据进行面板数据回归模型实证分析,找出影响国债到期收益率波动的因素,并进一步探讨在浮动汇率体制及在管理浮动汇率体制下,大小开放经济体汇率对债券到期收益率的影响。本研究以十年期国债到期收益率(BYR)为因变量,汇率(EXR)、股价指数(Stock)、央行基准利率(CBR)、原油期货价格(OP)、 GDP同比(gGDP)、CPI同比(gCPI)为自变量,对从2001年1月至2012年6月期间内共计1380个月度资料进行了研究和分析。
实证结果发现,在计量检验所建议采取的随机效应模型下,对于大型开放经济体,汇率对国债到期收益率的影响显着为正向,而对于小型开放经济体,汇率对国债到期收益率的影响方向则显着为负向。不管是发生金融海啸还是欧债风暴前后,无论大小经济体,其10年期国债到期收益率与央行基准利率和物价年增长率的关系都是正向且显着的；与西德州原油期货的关系则是负向且显着的。
本文创新之处在于以往的学术研究或金融实务上,在探讨宏观经济指标与国债价格(利率)关系时,并未就经济体规模大小所产生的影响,进行研究分析,本文在探讨国债价格与宏观经济指标关系时,将经济体规模纳入考量。尤其是在探讨汇率与国债到期收益率关系时,直观上,对于两者的关系判断,皆为正向,但本文利用面板数据模型,并将经济体规模纳入考量之后,所得出来的结果与直观判断上不同,例如,小型经济体的汇率与国债利率之间的关系即为负向。
From2008financial tsunami,2011European debt crisis, to current era of Post-QE, we all can see that government bond plays a very important role in today's financial market, and global economy. It is not only a reflection of a country's macro-economic conditions, but also reflects a country's fiscal situation. Moreover, bond prices (Yield to Maturity, YTM) is the basis for the evaluation of financial instruments. In addition, after2008financial tsunami, a lot of countries have lowered their interest rate to guide the longer term treasury yield falling down, in turn, indirectly stimulated the consumption of private sector, and reduced the borrowing cost of government and private sector. As a result, the global economy has gradually recovered. Therefore, we need pay more attention on government bond and government bond market.
This article is to investigate the causality relationship between the macroeconomic, market or environment variables, and government bond yields. Through the time series data and empirical analysis, we will be able to identify the factors of fluctuations of bond yields. Furthermore, this article is intend to inspect the relationship between foreign exchange rate and government bond yield, giving the different sizes of economy under the floating exchange rate system and managed floating rate system. In this study, ten-year government bond yield (BYR) has been chosen as explained variable. And, exchange rate (EXR), stock price index (Stock), central bank benchmark interest rate (CBR), CME crude oil futures price (OP), GDP growth rate (gGDP, year-on-year), CPI growth rate (gCPI, year-on-year) are explanatory variable. This study makes use of monthly data taken from January2001to June2012, ended up with samples amounting to1380.
This paper uses descriptive statistics, stationary test, Panel data model, fixed effects test, and random effects test. And, the empirical results reveal that the exchange rate would positively impact on government bond yield for the big open economy, while the influence should be reverse for the small open economy. Regardless of2008financial tsunami,2011European sovereign-debt crisis, and sizes of economy, the central bank benchmark interest rate and CPI growth rate would positively impact on government bond yield. On the other hand, the CME crude oil futures price would negatively impact on government bond yield.
The innovation of this paper is that when we analyze the relationship between economic indicators, such as stock index and foreign exchange rate, and government bond price (yield), we did not consider the size of an economy (country) before. For example, exchange rate. Intuitively, we think government bond yield and exchange rate are in positive relationship. However, after we took the size of an economy (country) into account, and use panel date regression model. We found that for a small economy (country), they are in negative relationship.
引文
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