我国货币市场利率期限结构及其与宏观经济关联性研究
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摘要
利率期限结构问题是金融学与经济学研究中倍受瞩目的领域,近些年我国利率市场化进程的稳步推进更是增强了这一课题研究的紧迫性。论文以我国货币市场利率期限结构为研究对象,对其变动规律进行了考察,并分析了其与宏观经济因素的关联性。
论文首先系统地回顾与梳理了利率期限结构模型及利率期限结构与宏观经济因素关联性问题的国内外相关研究成果,阐述了国内外现有研究的发展趋势及与我国实际结合的方向。其次,在全面考察我国货币市场利率特征的基础上,利用Vasicek模型、CIR模型和CKLS模型三种重要的单因子模型对银行间同业拆借市场和债券回购市场的利率期限结构进行刻画,采用极大似然法、离散极大似然法、Hermite多项式展开法和模拟极大似然法对三种模型进行估计,并根据参数估计结果分析了三种模型对于我国货币市场的适用性。最后,以银行间同业拆借市场和债券回购市场的长、短期利差作为利率期限结构的代理指标,在带有马尔科夫区制转移向量自回归模型框架下,实证检验了两个市场四种利差与经济增长、货币供给和通货膨胀之间的非线性影响关系。
Interest rate is an important economic variable which can reflect the supply and demand of funds. It is either a medial variable which can joint monetary factor to practical economic factor or a powerful and important method to adjust national economy. Term structure of interest rates as reflecting the relationships among a sequence of interest rates with different maturing dates is the benchmark for asset pricing, financial product design, risk management of interest rates, hedging, arbitrage and speculation. It is the transmission mechanism for central bank to affect the medium-term interest rate and the long-term interest rate by controlling the changes of the short-term interest rate. All the time, the research on term structure of interest rates which is always a basic research in finance field has drawn much attention of researchers, but different researchers have different focus and different research methods. That usually focuses on two aspects which are the microcosmic research of financial researchers and the macroscopical comprehension of economic researchers. The finance researchers construct a series of financial models with the aim of anticipating interest rate and pricing securities, while the economic researcher pay much attention to the comprehension of the relationship between interest rate and policies of macroeconomics depends on expected hypothesis. Thus, it is an innovative, necessary and meaningful work to combine factors of macroeconomics and the term structure of interest rates. It will be essential to improve the level of research in our country. Also, it can raise the optimization of the pricing mechanism structure and the efficiencies of regulations.
The marketization of interest rate is an important composition of the financial revolution of a country. The government looses or even gives up the direct control of interest rate gradually, urges the interest rate to be decided by the relationship between supply and demand in funding market and makes the market mechanism act as the dominant part in financial resource distribution. In our country, the importance of interest rate is not clearly because of the character of the planned financial economy. But in recent years, great achievements have been achieved in financial market, especially in money market with inter-bank funding market and inter-bank bound repo market as its represents. The money market is not only the main place for the financial institutes such as commercial banks to adjust and finance the short-term liquidity requirements, but also important for the central bank to make open operations and carry out the monetary policy and the financial manipulation. In our country, the represent of the market interest rate is the inter-bank interest rates. The term structure of the inter-bank interest rates is not only the pricing standard of other financial assents, but also the important channel of monetary policy. So, based on the situation in our country, to introduce the factors of macro-economics into the research of term structures of inter-bank offered rate and inter-bank repo rate will be meaningful for the analysis of term structure of interest rates in our country and the anticipations of economic growths.
This dissertation focuses on the term structure of interest rates of the money market of China and the relation between it and economic factor. It is organized as follows.
Chapter 1 Introduction. First, this thesis introduces the achievements of research in term structures of interest rates and the developments in the inter-bank funding market and inter-bank bound repo market in our country. Secondly, the innovations of this thesis are introduced by analyzing from microcosmic, macroscopical and theoretical aspects. Again, based on a summary of existing work, the system of this thesis and methodologies in the corresponding part are put forward. At last, the framework and the innovations of this thesis are listed.
Chapter 2 Reviews. This chapter is a detailed review of dynamic models of term structures of interest rates and the relationship between term structure of interest rates and economic factors from both theoretical and empirical aspects. It has commented on some representative achievements and point out the developing trends of researches on term structure of interest rates in our country and foreign countries. Those have emphasized the necessaries and feasibilities of researches in this thesis.
Chapter 3. Theories of Term Structure of Interest Rates and Characters of the Money Market of China. At first, this chapter has introduced some theories which describe the dynamic varies of term structures of interest rates including the traditional formation hypothesis and modem dynamic models of term structures of interest rates. Secondly, the produce, developments and characters of Money market of our country are given out focusing on the inter-bank funding market and inter-bank bound repo market. Basing on this, the characters of system of term structures of interest rates of our country were described. Those two parts has consisted the theoretical and empirical fundamentals of researches of term structures of interest rates in Money market of our country. In the end, the statistical and quantitative economical methods are applied to investigate the essential characters of different kinds of term structures of interest rates in the inter-bank funding market or inter-bank bond repo market and the pertinences of representational interest rates of the two markets.
Chapter 4. The Estimation of Term Structure of Interest Rates Based on Single-Factor Models. The term structures of interest rates in the inter-bank funding market and inter-bank bound repo market were described using three classic dynamic single -factor models which are Vasicek model, CIR model and CKLS model, then the change rules of the term structures of interest rates in Money market of our country was introduced. After a simple review of the three single -factor models, the maximum likelihood approach, the discrete maximum likelihood approach, the Hermite polynomial expansion approach and the simulated maximum likelihood approach are used to estimate the three models with the representational short- term interest rates of the corresponding markets which are IBO007 and R007 as the objects of the estimations. The values of parameters which reflect the characters of term structures of interest rates are gained. Basing on those, the adaptabilities of the three models for the two different branches of Money market of our country and otherness of the change rules of term structures of interest rates in the two branches of money market are analyzed.
Chapter 5. The Analysis of the Relationship between Term Structure of Interest Rates and Macroeconomic Factors. This Chapter has discussed the bidirectional influences between four kinds of interest margins in the two markets with three important macroeconomic factors which are economic increase, money supply and inflation. The acting indexes of the term structure of interest rates in discuss are short-term and long-term interest rates in inter-bank funding market or inter-bank repo market. Being different from the researches before, the relation between term structures of interest rates in Money market of our country and macroeconomic factors are not assumed to be linear in order to indicate the dissymmetrical properties between the variables in different situation of two aspects in this chapter. Further more, the variables are included in MS-VAR models and then the linear relation between variables is denied by the conclusion of quantitative estimations. The results of the model estimation and pulse response functions under the two districts indicate the relationship between term structures of interest rates and macro economy; meanwhile it gets the characteristic information of the two markets and comes to the facts that the typification is enforced under the economic backgrounds of our country.
Finally, the conclusions of this thesis are imparted.
The mainly achievements are listed as follows.
1. The three likelihood estimation approaches basing on different transitional probability density functions which are the discrete maximum likelihood, the Hermite polynomial expansion and the simulated maximum likelihood have the similar efficiency on estimations of single-factor models. It is equivalent to maximum likelihood approach.
2. There are big differences of changes rules of interest rate between inter-bank funding market and inter-bank bound repo market of our country. The term structure of interest rates of inter-bank funding market can be described by both CKLS model and CIR model, but the term structure of interest rates in inter-bank repo market of our country can be described only by CIR model. Besides, the speed of mean reversion and volatility grade of the former are much little than the latter means that the term structure of interest rates of inter-bank funding market is less sensitive than that of inter-bank repo market. The former has a relative low reflecting speed and is less volatile. The close parameters of term structure of interest rates levels indicate that the mean long-term interest rates of the two markets are nearly accordant.
3. The relationships between the term structure of interest rates and increases of economic: in the first the relationship is not direct or with a delay, so the explanation is not sufficient for both of them on short-term trends; the financial demands during the economic development do not only depend on financial costs, that indicates the invalidation of signals of financial market prices; the effects of interest rates of different terms on economic developments are very different in the inter-bank funding market; the increases of economy is lack of sensitivity for long-term interest margin especially in the situation that the mean value of money supply is high.
4. The relationships between the term structure of interest rates and monetary policies: the effects of interest margins of different terms on monetary policies are very different in the inter-bank funding market, but those are not the same in inter-bank repo market, so the reflections of term structures of interest rates on monetary policies has the obvious characters of inter-market; the monetary policies transmissions are more effective in the inter-bank funding market than the inter-bank repo market; the signals of short-term interest margins are more remarkable than those of long-term interest margins; 'reacting insufficiency' or 'over reaction' will come firth when the monetary policies adjusts have money supplies as their intermedias.
5. The relationship between term structure of interest rates and inflation: it appears to be remarkable statistic negative trends on the influences that the prophase inflation cased on interest margins in the system consisted by the four kinds of interest margins. This conclusion is not only supported by theory, but also comes to the assertion that inflation must be considered in centralization of monetary policies of our country even it is not the pivotal index. Besides, the coming forth of the dissymmetrical properties caused by interest rate on inflation indicates that the changes of interest margin is relative more sensitive and the market expectations of inflation and policy changes are more evident.
Of course, there are some shortages in this thesis.
1. Although large scale of research results asserts that single-factor models can describe term structure of interest rates properly, but term structure of interest rates are complicated in practical. The avoidless oversights will come forth when there are only three classic time-homogeneous single-factor models are used to describe the change rules of term structures of interest rates of money market of our country. As the increasing of scales of data and marketization of interest rate trade, it is an attractive research area to utilize all kinds of stochastic models to investigate term structure of interest rates of our country and finally construct the dynamic models of term structure of interest rates which accord with the realities in China.
2. Although the bidirectional influences of term structures of interest rates in money market of our country are investigated systemically, the term structures of interest rates are not applied on the anticipation of macroeconomic variables. To anticipate the practical output and inflation standard in the future by analyzing the term structures of interest rates is becoming one of the most attractive research areas of the term structures of interest rates. It is also the succedent research of this thesis.
The thesis has investigated the relation between term structure of interest rates and economic factors. That has deepened the theoretical and empirical research of term structure of interest in money market in our country. It will be helpful in both theoretical respect and practical aspect for realizing the relation between term structure of interest rates and economic factor and analyzing the economic trends. Of course, since lots of content in this thesis is a maiden attempt and the ways and means of the research maybe limited, the conclusion of this thesis needs to be confirmed by the correlative theories and practice in future. It is inevitable that anything important is ignored or anything wrong. So any suggestion or comment is welcome, thank you in advance.
论文首先系统地回顾与梳理了利率期限结构模型及利率期限结构与宏观经济因素关联性问题的国内外相关研究成果,阐述了国内外现有研究的发展趋势及与我国实际结合的方向。其次,在全面考察我国货币市场利率特征的基础上,利用Vasicek模型、CIR模型和CKLS模型三种重要的单因子模型对银行间同业拆借市场和债券回购市场的利率期限结构进行刻画,采用极大似然法、离散极大似然法、Hermite多项式展开法和模拟极大似然法对三种模型进行估计,并根据参数估计结果分析了三种模型对于我国货币市场的适用性。最后,以银行间同业拆借市场和债券回购市场的长、短期利差作为利率期限结构的代理指标,在带有马尔科夫区制转移向量自回归模型框架下,实证检验了两个市场四种利差与经济增长、货币供给和通货膨胀之间的非线性影响关系。
Interest rate is an important economic variable which can reflect the supply and demand of funds. It is either a medial variable which can joint monetary factor to practical economic factor or a powerful and important method to adjust national economy. Term structure of interest rates as reflecting the relationships among a sequence of interest rates with different maturing dates is the benchmark for asset pricing, financial product design, risk management of interest rates, hedging, arbitrage and speculation. It is the transmission mechanism for central bank to affect the medium-term interest rate and the long-term interest rate by controlling the changes of the short-term interest rate. All the time, the research on term structure of interest rates which is always a basic research in finance field has drawn much attention of researchers, but different researchers have different focus and different research methods. That usually focuses on two aspects which are the microcosmic research of financial researchers and the macroscopical comprehension of economic researchers. The finance researchers construct a series of financial models with the aim of anticipating interest rate and pricing securities, while the economic researcher pay much attention to the comprehension of the relationship between interest rate and policies of macroeconomics depends on expected hypothesis. Thus, it is an innovative, necessary and meaningful work to combine factors of macroeconomics and the term structure of interest rates. It will be essential to improve the level of research in our country. Also, it can raise the optimization of the pricing mechanism structure and the efficiencies of regulations.
The marketization of interest rate is an important composition of the financial revolution of a country. The government looses or even gives up the direct control of interest rate gradually, urges the interest rate to be decided by the relationship between supply and demand in funding market and makes the market mechanism act as the dominant part in financial resource distribution. In our country, the importance of interest rate is not clearly because of the character of the planned financial economy. But in recent years, great achievements have been achieved in financial market, especially in money market with inter-bank funding market and inter-bank bound repo market as its represents. The money market is not only the main place for the financial institutes such as commercial banks to adjust and finance the short-term liquidity requirements, but also important for the central bank to make open operations and carry out the monetary policy and the financial manipulation. In our country, the represent of the market interest rate is the inter-bank interest rates. The term structure of the inter-bank interest rates is not only the pricing standard of other financial assents, but also the important channel of monetary policy. So, based on the situation in our country, to introduce the factors of macro-economics into the research of term structures of inter-bank offered rate and inter-bank repo rate will be meaningful for the analysis of term structure of interest rates in our country and the anticipations of economic growths.
This dissertation focuses on the term structure of interest rates of the money market of China and the relation between it and economic factor. It is organized as follows.
Chapter 1 Introduction. First, this thesis introduces the achievements of research in term structures of interest rates and the developments in the inter-bank funding market and inter-bank bound repo market in our country. Secondly, the innovations of this thesis are introduced by analyzing from microcosmic, macroscopical and theoretical aspects. Again, based on a summary of existing work, the system of this thesis and methodologies in the corresponding part are put forward. At last, the framework and the innovations of this thesis are listed.
Chapter 2 Reviews. This chapter is a detailed review of dynamic models of term structures of interest rates and the relationship between term structure of interest rates and economic factors from both theoretical and empirical aspects. It has commented on some representative achievements and point out the developing trends of researches on term structure of interest rates in our country and foreign countries. Those have emphasized the necessaries and feasibilities of researches in this thesis.
Chapter 3. Theories of Term Structure of Interest Rates and Characters of the Money Market of China. At first, this chapter has introduced some theories which describe the dynamic varies of term structures of interest rates including the traditional formation hypothesis and modem dynamic models of term structures of interest rates. Secondly, the produce, developments and characters of Money market of our country are given out focusing on the inter-bank funding market and inter-bank bound repo market. Basing on this, the characters of system of term structures of interest rates of our country were described. Those two parts has consisted the theoretical and empirical fundamentals of researches of term structures of interest rates in Money market of our country. In the end, the statistical and quantitative economical methods are applied to investigate the essential characters of different kinds of term structures of interest rates in the inter-bank funding market or inter-bank bond repo market and the pertinences of representational interest rates of the two markets.
Chapter 4. The Estimation of Term Structure of Interest Rates Based on Single-Factor Models. The term structures of interest rates in the inter-bank funding market and inter-bank bound repo market were described using three classic dynamic single -factor models which are Vasicek model, CIR model and CKLS model, then the change rules of the term structures of interest rates in Money market of our country was introduced. After a simple review of the three single -factor models, the maximum likelihood approach, the discrete maximum likelihood approach, the Hermite polynomial expansion approach and the simulated maximum likelihood approach are used to estimate the three models with the representational short- term interest rates of the corresponding markets which are IBO007 and R007 as the objects of the estimations. The values of parameters which reflect the characters of term structures of interest rates are gained. Basing on those, the adaptabilities of the three models for the two different branches of Money market of our country and otherness of the change rules of term structures of interest rates in the two branches of money market are analyzed.
Chapter 5. The Analysis of the Relationship between Term Structure of Interest Rates and Macroeconomic Factors. This Chapter has discussed the bidirectional influences between four kinds of interest margins in the two markets with three important macroeconomic factors which are economic increase, money supply and inflation. The acting indexes of the term structure of interest rates in discuss are short-term and long-term interest rates in inter-bank funding market or inter-bank repo market. Being different from the researches before, the relation between term structures of interest rates in Money market of our country and macroeconomic factors are not assumed to be linear in order to indicate the dissymmetrical properties between the variables in different situation of two aspects in this chapter. Further more, the variables are included in MS-VAR models and then the linear relation between variables is denied by the conclusion of quantitative estimations. The results of the model estimation and pulse response functions under the two districts indicate the relationship between term structures of interest rates and macro economy; meanwhile it gets the characteristic information of the two markets and comes to the facts that the typification is enforced under the economic backgrounds of our country.
Finally, the conclusions of this thesis are imparted.
The mainly achievements are listed as follows.
1. The three likelihood estimation approaches basing on different transitional probability density functions which are the discrete maximum likelihood, the Hermite polynomial expansion and the simulated maximum likelihood have the similar efficiency on estimations of single-factor models. It is equivalent to maximum likelihood approach.
2. There are big differences of changes rules of interest rate between inter-bank funding market and inter-bank bound repo market of our country. The term structure of interest rates of inter-bank funding market can be described by both CKLS model and CIR model, but the term structure of interest rates in inter-bank repo market of our country can be described only by CIR model. Besides, the speed of mean reversion and volatility grade of the former are much little than the latter means that the term structure of interest rates of inter-bank funding market is less sensitive than that of inter-bank repo market. The former has a relative low reflecting speed and is less volatile. The close parameters of term structure of interest rates levels indicate that the mean long-term interest rates of the two markets are nearly accordant.
3. The relationships between the term structure of interest rates and increases of economic: in the first the relationship is not direct or with a delay, so the explanation is not sufficient for both of them on short-term trends; the financial demands during the economic development do not only depend on financial costs, that indicates the invalidation of signals of financial market prices; the effects of interest rates of different terms on economic developments are very different in the inter-bank funding market; the increases of economy is lack of sensitivity for long-term interest margin especially in the situation that the mean value of money supply is high.
4. The relationships between the term structure of interest rates and monetary policies: the effects of interest margins of different terms on monetary policies are very different in the inter-bank funding market, but those are not the same in inter-bank repo market, so the reflections of term structures of interest rates on monetary policies has the obvious characters of inter-market; the monetary policies transmissions are more effective in the inter-bank funding market than the inter-bank repo market; the signals of short-term interest margins are more remarkable than those of long-term interest margins; 'reacting insufficiency' or 'over reaction' will come firth when the monetary policies adjusts have money supplies as their intermedias.
5. The relationship between term structure of interest rates and inflation: it appears to be remarkable statistic negative trends on the influences that the prophase inflation cased on interest margins in the system consisted by the four kinds of interest margins. This conclusion is not only supported by theory, but also comes to the assertion that inflation must be considered in centralization of monetary policies of our country even it is not the pivotal index. Besides, the coming forth of the dissymmetrical properties caused by interest rate on inflation indicates that the changes of interest margin is relative more sensitive and the market expectations of inflation and policy changes are more evident.
Of course, there are some shortages in this thesis.
1. Although large scale of research results asserts that single-factor models can describe term structure of interest rates properly, but term structure of interest rates are complicated in practical. The avoidless oversights will come forth when there are only three classic time-homogeneous single-factor models are used to describe the change rules of term structures of interest rates of money market of our country. As the increasing of scales of data and marketization of interest rate trade, it is an attractive research area to utilize all kinds of stochastic models to investigate term structure of interest rates of our country and finally construct the dynamic models of term structure of interest rates which accord with the realities in China.
2. Although the bidirectional influences of term structures of interest rates in money market of our country are investigated systemically, the term structures of interest rates are not applied on the anticipation of macroeconomic variables. To anticipate the practical output and inflation standard in the future by analyzing the term structures of interest rates is becoming one of the most attractive research areas of the term structures of interest rates. It is also the succedent research of this thesis.
The thesis has investigated the relation between term structure of interest rates and economic factors. That has deepened the theoretical and empirical research of term structure of interest in money market in our country. It will be helpful in both theoretical respect and practical aspect for realizing the relation between term structure of interest rates and economic factor and analyzing the economic trends. Of course, since lots of content in this thesis is a maiden attempt and the ways and means of the research maybe limited, the conclusion of this thesis needs to be confirmed by the correlative theories and practice in future. It is inevitable that anything important is ignored or anything wrong. So any suggestion or comment is welcome, thank you in advance.
引文
1 于谨.利率期限结构研究[D].北京:对外经济贸易大学,2002.
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1 数据来源于中国货币网——www.chinamoney.com.cn。
2 数据来源于中国人民银行网站——www.pbc.gov.cn。
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