利率期限结构的信息传递研究
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摘要
2000年以来,大量的金融学文献开始致力于金融市场信息提炼研究,一个新的金融研究视角逐渐发展起来,越来越多的研究关注于“未来信息在金融工具价格中的体现”。此次美国次级债引发的全球金融大海啸,让人们深刻感受到金融市场信息传递研究的实用性和迫切性。现代利率期限结构被认为是金融资产定价的核心,也是连接微观金融和宏观经济两大领域的桥梁。因此,本文尝试沿着前人开拓的道路,以利率期限结构的信息传递为选题,对这一个研究方向进行丰富和扩展。
本文首先系统地回顾了利率期限结构的理论嬗变过程,从微观和宏观两个角度,阐释了利率期限结构在资产定价、保值和风险管理、套利以及投机等的基准功能,以及连接货币市场与宏观经济的桥梁作用。在使用多种方法对利率期限结构收益率曲线进行静态拟合后,进一步剖析了收益率曲线自身形态特征能够传递的信息,如未来利率预期、久期免疫、流动性溢价和VaR值等。
在此基础上,研究了利率期限结构的债券及期权定价信息传递,分析了风险中性概率密度函数在金融资产价格信息传递中的应用；进一步通过CIR模型模拟动态利率,并对浮动利率债券进行定价和可回售/可赎回债券进行定价,比较实际价格与模型价格差别传递的信息。衍生品定价上,重点考察了信用违约风险和利率期权定价。
在股票市场上,通过CAPAM模型,阐述了股票定价与利率期限结构之间关系的内在逻辑,接下来,分别实证研究债券市场利率期限结构、存款利率期限结构和国际利率期限结构分别对于我国股市指数收益率波动的影响。这里发现了一个非常有趣的现象,债券市场利率和国外市场利率对于股市指数收益率影响几乎可以忽略,但是,存款利率的影响却是大的超出预期,笔者尝试对此进行了解释。
在研究利率期限结构的国内宏观变量信息传递时,首先通过剖析主要的宏观经济模型,找出利率期限结构与宏观经济变量的内在逻辑；然后检验了利率期限结构对于经济增长、通货膨胀等信息的预测能力,研究结果发现,我国利率期限结构对于GDP、投资I等因素解释能力有限,但是能很好地解释了消费C、以及CPI的变化。货币政策信息传递是利率期限结构运用的重点领域,笔者的研究也证明了这一点,利率期限结构包含丰富的货币政策含义,不仅可以用来作为货币政策中介目标,而且还可以用来评估货币政策的实施效果。最后,利用VAR模型综合分析了利率期限结构对国内宏观变量的脉冲响应。
在开放条件下,利率期限结构是如何反映或传递外部冲击效应信息,这是本文研究的一个重点。在研究后得出以下结论：(1)国内市场利率期限结构易遭受到美国货币政策的重大冲击；(2)国内市场隐含利率的波动性可以传递人民币汇率的预期变动信息,如果人民币无本金交割掉期(NDS)隐含的1年期和5年期利率低于同期金融债利率,利差越大说明人民币升值预期越强烈。反之,则是人民币升值压力缓和；(3)外部冲击对于长期利差的影响要明显小于短期或中期利差；(4)外部实体经济因素除石油外,对我国市场利率的影响相对要小于货币因素。
Since 2000, a large number of finance literature started to focus on the financial market information extraction research, a new perspective of financial research evolved, an increasing number of studies have focused on the "future information e reflected in the price of financial instruments." After the global financial tsunami triggered by The Wall street of U.S.A, people find a profound study of the financial market messaging is more and more practical and urgent. Modern term structure of interest rates is considered not only the core of the pricing of financial assets, but also the connection of micro-finance and macroeconomic bridge. Therefore, this article attempts to study along the road opened up by our predecessors, regard the transmission of information the term structure of interest rates as the topic of this research direction, and try to enrich and expand it,
In this paper, firstly, we give a systematic review of the theory evolution of the term structure of interest rate process, from both the micro and macro perspective, to explain the function of term structure of interest rates for asset pricing, hedging and risk management, arbitrage,, and the function of connecting the money market and macro-economic. After using a variety of methods for static yield curve term structure of interest rates, further analyze the message that morphological characteristics of the yield curve itself convey, such as future interest rate expectations, duration immunization, Liquidity Premium and VaR.
On this basis, we study the information transmission in term structure of interest bonds and options rates pricing, analyze the application of the risk-neutral probability density function in the transmission of information of financial asset prices;and further analyze the CIR model in simulate dynamic interest rates, price the floating rate bonds and puttable/callable bond pricing, compare the difference message between the actual price and model price. In the part of derivatives pricing, we focus on credit default risk and interest rate options.
In stock market, through CAPM model, we described inherent logic of the relationship between the term structure of interest rates and stock pricing. Next,, we do some empirical studies respectively in the impact of the term structure of interest rates in bond market、deposit interest rate and international interest rate to China's stock market index yield fluctuations. Here we found a very interesting phenomenon, the influence of bond market interest rates and foreign market interest rate to stock market index returns are almost negligible, but the impact of deposit interest rates is great than expected, we tried to explained this phenomenon.
When we study the term structure of interest rates in domestic macro-variable transmission of information, we firstly analyze the major macroeconomic model in order to identify the internal logic between term structure of interest rates and macroeconomic variables, and then test the forecast capability of term structure of interest rates on economic growth, inflation and other information. Our research found that the explanation ability of term structure of interest rates for China's GDP, investment and other factors are very limited. But it can explain the consumption of C, as well as the CPI changes very well. Information transmission of monetary policy is the core of the term structure application. Our research proved this point, the interest rate term structure contains a wealth of monetary policy implications, not only can be used as an intermediate target of monetary policy, but also can be used to assess the monetary policy the implementation of the results. Finally, the article made a comprehensive analysis on the impulse response of domestic macroeconomic variables through VAR model of the term structure of interest rates.
In an open economy, how does term structure of interest rates reflect and transform the effects of external shocks is a major focus of our study. We draw the following conclusions:(1) Domestic market interest rate term structure is vulnerable to U.S. monetary policy; (2) Domestic Implied interest rate can pass the RMB exchange rate information. If the implied RMB one-year and five-year non-present Gold delivery swap (NDS) is lower than financial bonds interest rate in the same period, The greater spreads reach, the more intense appreciation of the RMB is. On the contrary, it is to ease pressure on RMB appreciation; (3) The External shocks impact for long-term interest rate is significantly less than short-or medium-term interest rate; (4) The impact of external real economy factors to China market interest rates, other than oil, is relatively smaller than monetary factors.
本文首先系统地回顾了利率期限结构的理论嬗变过程,从微观和宏观两个角度,阐释了利率期限结构在资产定价、保值和风险管理、套利以及投机等的基准功能,以及连接货币市场与宏观经济的桥梁作用。在使用多种方法对利率期限结构收益率曲线进行静态拟合后,进一步剖析了收益率曲线自身形态特征能够传递的信息,如未来利率预期、久期免疫、流动性溢价和VaR值等。
在此基础上,研究了利率期限结构的债券及期权定价信息传递,分析了风险中性概率密度函数在金融资产价格信息传递中的应用；进一步通过CIR模型模拟动态利率,并对浮动利率债券进行定价和可回售/可赎回债券进行定价,比较实际价格与模型价格差别传递的信息。衍生品定价上,重点考察了信用违约风险和利率期权定价。
在股票市场上,通过CAPAM模型,阐述了股票定价与利率期限结构之间关系的内在逻辑,接下来,分别实证研究债券市场利率期限结构、存款利率期限结构和国际利率期限结构分别对于我国股市指数收益率波动的影响。这里发现了一个非常有趣的现象,债券市场利率和国外市场利率对于股市指数收益率影响几乎可以忽略,但是,存款利率的影响却是大的超出预期,笔者尝试对此进行了解释。
在研究利率期限结构的国内宏观变量信息传递时,首先通过剖析主要的宏观经济模型,找出利率期限结构与宏观经济变量的内在逻辑；然后检验了利率期限结构对于经济增长、通货膨胀等信息的预测能力,研究结果发现,我国利率期限结构对于GDP、投资I等因素解释能力有限,但是能很好地解释了消费C、以及CPI的变化。货币政策信息传递是利率期限结构运用的重点领域,笔者的研究也证明了这一点,利率期限结构包含丰富的货币政策含义,不仅可以用来作为货币政策中介目标,而且还可以用来评估货币政策的实施效果。最后,利用VAR模型综合分析了利率期限结构对国内宏观变量的脉冲响应。
在开放条件下,利率期限结构是如何反映或传递外部冲击效应信息,这是本文研究的一个重点。在研究后得出以下结论：(1)国内市场利率期限结构易遭受到美国货币政策的重大冲击；(2)国内市场隐含利率的波动性可以传递人民币汇率的预期变动信息,如果人民币无本金交割掉期(NDS)隐含的1年期和5年期利率低于同期金融债利率,利差越大说明人民币升值预期越强烈。反之,则是人民币升值压力缓和；(3)外部冲击对于长期利差的影响要明显小于短期或中期利差；(4)外部实体经济因素除石油外,对我国市场利率的影响相对要小于货币因素。
Since 2000, a large number of finance literature started to focus on the financial market information extraction research, a new perspective of financial research evolved, an increasing number of studies have focused on the "future information e reflected in the price of financial instruments." After the global financial tsunami triggered by The Wall street of U.S.A, people find a profound study of the financial market messaging is more and more practical and urgent. Modern term structure of interest rates is considered not only the core of the pricing of financial assets, but also the connection of micro-finance and macroeconomic bridge. Therefore, this article attempts to study along the road opened up by our predecessors, regard the transmission of information the term structure of interest rates as the topic of this research direction, and try to enrich and expand it,
In this paper, firstly, we give a systematic review of the theory evolution of the term structure of interest rate process, from both the micro and macro perspective, to explain the function of term structure of interest rates for asset pricing, hedging and risk management, arbitrage,, and the function of connecting the money market and macro-economic. After using a variety of methods for static yield curve term structure of interest rates, further analyze the message that morphological characteristics of the yield curve itself convey, such as future interest rate expectations, duration immunization, Liquidity Premium and VaR.
On this basis, we study the information transmission in term structure of interest bonds and options rates pricing, analyze the application of the risk-neutral probability density function in the transmission of information of financial asset prices;and further analyze the CIR model in simulate dynamic interest rates, price the floating rate bonds and puttable/callable bond pricing, compare the difference message between the actual price and model price. In the part of derivatives pricing, we focus on credit default risk and interest rate options.
In stock market, through CAPM model, we described inherent logic of the relationship between the term structure of interest rates and stock pricing. Next,, we do some empirical studies respectively in the impact of the term structure of interest rates in bond market、deposit interest rate and international interest rate to China's stock market index yield fluctuations. Here we found a very interesting phenomenon, the influence of bond market interest rates and foreign market interest rate to stock market index returns are almost negligible, but the impact of deposit interest rates is great than expected, we tried to explained this phenomenon.
When we study the term structure of interest rates in domestic macro-variable transmission of information, we firstly analyze the major macroeconomic model in order to identify the internal logic between term structure of interest rates and macroeconomic variables, and then test the forecast capability of term structure of interest rates on economic growth, inflation and other information. Our research found that the explanation ability of term structure of interest rates for China's GDP, investment and other factors are very limited. But it can explain the consumption of C, as well as the CPI changes very well. Information transmission of monetary policy is the core of the term structure application. Our research proved this point, the interest rate term structure contains a wealth of monetary policy implications, not only can be used as an intermediate target of monetary policy, but also can be used to assess the monetary policy the implementation of the results. Finally, the article made a comprehensive analysis on the impulse response of domestic macroeconomic variables through VAR model of the term structure of interest rates.
In an open economy, how does term structure of interest rates reflect and transform the effects of external shocks is a major focus of our study. We draw the following conclusions:(1) Domestic market interest rate term structure is vulnerable to U.S. monetary policy; (2) Domestic Implied interest rate can pass the RMB exchange rate information. If the implied RMB one-year and five-year non-present Gold delivery swap (NDS) is lower than financial bonds interest rate in the same period, The greater spreads reach, the more intense appreciation of the RMB is. On the contrary, it is to ease pressure on RMB appreciation; (3) The External shocks impact for long-term interest rate is significantly less than short-or medium-term interest rate; (4) The impact of external real economy factors to China market interest rates, other than oil, is relatively smaller than monetary factors.
引文
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[73]Lucas.R.E.Jr,1990, “Liquidity and Interest Rates”, Journal of Economic Theory,50:37-64.
[74]McCallum, Bennett.T.,2005, “Monetary Policy and The Term Structure of Interest Rates”, Federal Reserve Bank of Richmond Eeonimic Quarterly,91:1-21.
[75]Merton Robert C.:“Theory of Option Pricing”, Bell Journal of Economics and Science, Vol4
[76]Miehaeck F. Gallmeyer, Burton Hollifield, Stanley E.Zin, Taylor rules, McCallurn rules and the term structure of interest rates, Journal of MonetaryEeonomics 52(2005)921-950.
[77]Modigliani, Franco and Riehard Sutch, “Innovations in Interest Rate Policy”, Almerican Economy Review,May 1966,178-97.
[78]Nelson. C.and Siegel, A. Parsimonious modeling of yield curves. Joumal of Business, 1987,60,473-489.
[79]Panagiotis T. Konstantinou,2005, “The Expectations Hypothesis of the Term Structure:A Look at the Polish Interbank Market”, Emerging Markets Finance and Trade,41(3):70-91.
[80]Peter Kugler, the Term Structure of Interest Rates and Regime Shifts:Some Empirical Results, Eeonomics LetTers50(1996)121-126.
[81]Piazzesi. M.;2003. “Affine term structure models”, prepared for the Handbook of finacial economics, available at the following link:http//home.uchicago.edu
[82]Piazzesi. M.; 2005. “Bond yields and the Federal Reserve”, Journal of Political Economy Volume 113, Issue 2, April 2005 pp.311-344.
[83]Qiang Dai_and Thomas PhiliPPon, Fiscal Poliey and the Term Structure of interest Rates, December 2004
[84]Qiang Dai,, and Thomas Philippon, Fiscal Policy and the Term structure of Interest Rates,2006, Draft Paper Qurterly Journal of Eeonomics 101.211-228.
[85]Rendleman,R and B.Bartter:"The pricing of option on Debt Securities", Journal of Financial and Quantitative Analysis,1980,15(3),11-24
[86]Rudebuseh, GD. (1995) Federal reserve interest rate targeting, rational expectations, and the term·structure. Journal of Monetary Economics35,245-174.
[87]Rudebusch, GlennD., and Tao wu(2004):A Macro-Finance Model of the Tenn structure, Monetary Policy, and the Economy Federal Reserve Bank of sanFrancisco Working PaPer No.2003-17.
[88]Rudebush, GD; wu,T.;2004. “The recent shift in term structure behavior from a no-arbitrage macr o-finance Perspective”, FRBSF Working Paper Series,2004.
[89]Schaefer S.M. and E.S.S chwartz,1984, A two-factor model of the term structure:an approximate analytical solution, Journal of Financial and Quantitative Analysis,19,413-24.
[90]Scott F. Richard, "An arbitrage model of the term structure of interest rates", Journal of Financial Eeonomies,1978,6,33-57.
[91]Sun, T.,1992, “Real and Nominal Interest Rates:A Discrete-Time Model and Its Continuous Time Limit”, Review of Financial Studies,5,581-611.
[92]sundaram, R.K;1997. “Equivlant martingale measures and risk/nutral valuation:an expository note” Journal of Derivatives, Fall 1997,85-98.
[93]Svensson,L.E.O. Estimating and Interpreting Forward Interest Rate:Svenden 1992-1994, NBER Working Paper Series.1994,48:71.
[94]TaoWu, StylizedFacts on Norminal Term Structure and Business Cycles:An Empiracal VAR Study, FRBSF working Paper 2002.08
[95]TaoWu, MacroFactors and the Affine Term Structure of Interest Rates, Eeonomic Research Department, Federal Reserve Bank of San Francisco, 101 Market Street, San Francisco, CA94105.
[96]Taylor, John B.1993. Discretion versus policy rules in practice, Camegie-Rochester conference on Public Policy,1993.39:195-214.
[97]Tom Engsted, KenNyholm, Regime shifts in the Danish term structure of interest rates, Empirical Economics,2000.
[1]丁文丽,刘学红,中国货币政策中介目标选择的理论研究与实证分析,经济科学,2002(6)：44-51
[2]董研,张可,存贷款利率水平提高对国债收益率曲线变动影响的分析,华东经济管理,2005年9月
[3]李小军,Lagrange方法和期权定价,应用概率统计,2000,16(4)：373-378
[4]闫海峰、刘三阳,股票价格遵循Ornstein-Uhlenback过程的期权定价,系统工程学报,2003,18(6)：547-551
[5]奚炜, Gamma时变过程与Black-Scholes期权定价的定价偏差纠正,管理工程学报,2004,18(1)：111-113
[6]沈峰、刘勇,Black-Scholes期权定价模型在风险投资企业中的应用,现代管理科学,2005(2)：34-35
[7]李海秋,Black-Scholes模型扩展性研究及参数估计综述,软科学,2005,19(1)：5-8
[8]郑小迎、陈金贤,关于新型期权及其定价模型的研究,管理工程学报,2000,14(3)：56-60弗兰克.J.法博兹,债券市场：分析和策略,北京：北京大学出版社,2007
[9]范龙振,上交所利率期限结构的三因子广义高斯仿射模型,管理工程学报,2005年第1期
[10]范龙振、张国庆,仿射模型、广义仿射模型与上交所利率期限结构,管理工程学报,月,2005年第3期
[11]葛结根,新凯恩斯主义的最优货币政策理论,金融教学与研究,2007年第6期
[12]贺国生,商业银行利率风险度量模型与管理模式研究,成都：西南财经大学出版社,2007
[13]胡海鸥,“利率走廊”调控的理论与实践,上海人民出版社,2006
[14]纪志宏,货币政策与国债收益率曲线,中国社会科学院研究生院学报,2003年第3期
[15]钱小安,货币政策规则,北京：商务印书馆,2002
[16]孙宝祥,货币政策传导效应研究,湖南长沙：湖南大学出版社,2007
[17]谭小芬,泰勒规则及其在中国的适应性分析,山西财经大学学报,2006第8期
[18]提云涛,国债收益率曲线与宏观经济相关性研究东方证券研究所2005-8-10
[19]王建国,泰勒规则与我国货币政策反应函数的实证研究,海证券交易所
[20]朱世武,基于SAS系统的金融计算,北京：清华大学出版社,2007
[21]朱世武,银行间债券市场利率期限结构建模分析,2004
[22]三军,随机过程及其在金融领域中的应用,北京：清华大学出版社,2007
[23]一鸣,李剑峰,我国债券市场收益率曲线影响变量的实证分析,金融研究,2005年第1期,[J],第111-124页
[24]夏斌、廖强：货币供应量已不宜作为当前我国货币政策的中介目标,经济研究,2001,(8)
[25]姚长辉：固定收益证券：定价与利率风险管理北京：北京大学出版社,2006
[26]衰东,中国债券流通市场运行实证研究,经济科学出版社,2003年
[27]张连增：金融经济学：无套利理论与利率敏感性工具定价,北京：经济管理出版社,2006
[28]中央财金大学金融证券研究所课题组,中国债券流通市场运行的实证研究,2003
[29]Ruey S. Tsay,金融时间系列分析,机械工业出版社,2005
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[84]Qiang Dai,, and Thomas Philippon, Fiscal Policy and the Term structure of Interest Rates,2006, Draft Paper Qurterly Journal of Eeonomics 101.211-228.
[85]Rendleman,R and B.Bartter:"The pricing of option on Debt Securities", Journal of Financial and Quantitative Analysis,1980,15(3),11-24
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[1]丁文丽,刘学红,中国货币政策中介目标选择的理论研究与实证分析,经济科学,2002(6)：44-51
[2]董研,张可,存贷款利率水平提高对国债收益率曲线变动影响的分析,华东经济管理,2005年9月
[3]李小军,Lagrange方法和期权定价,应用概率统计,2000,16(4)：373-378
[4]闫海峰、刘三阳,股票价格遵循Ornstein-Uhlenback过程的期权定价,系统工程学报,2003,18(6)：547-551
[5]奚炜, Gamma时变过程与Black-Scholes期权定价的定价偏差纠正,管理工程学报,2004,18(1)：111-113
[6]沈峰、刘勇,Black-Scholes期权定价模型在风险投资企业中的应用,现代管理科学,2005(2)：34-35
[7]李海秋,Black-Scholes模型扩展性研究及参数估计综述,软科学,2005,19(1)：5-8
[8]郑小迎、陈金贤,关于新型期权及其定价模型的研究,管理工程学报,2000,14(3)：56-60弗兰克.J.法博兹,债券市场：分析和策略,北京：北京大学出版社,2007
[9]范龙振,上交所利率期限结构的三因子广义高斯仿射模型,管理工程学报,2005年第1期
[10]范龙振、张国庆,仿射模型、广义仿射模型与上交所利率期限结构,管理工程学报,月,2005年第3期
[11]葛结根,新凯恩斯主义的最优货币政策理论,金融教学与研究,2007年第6期
[12]贺国生,商业银行利率风险度量模型与管理模式研究,成都：西南财经大学出版社,2007
[13]胡海鸥,“利率走廊”调控的理论与实践,上海人民出版社,2006
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