我国利率期限结构与宏观经济关系的实证研究
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摘要
利率期限结构与宏观经济的联系是当前宏观经济学和金融学研究的前沿领域之一。本文对我国利率期限结构与宏观经济之间的影响关系进行实证研究。论文依据利率、利率期限结构的相关理论,应用理论模型分析利率期限结构与货币政策、财政政策以及经济周期波动等宏观经济要素之间的关系。在此基础上,应用各种线性与非线性计量经济学模型对利率期限结构与宏观经济的影响关系进行检验与分析。论文的主要研究内容包括:首先,对预期理论在我国利率期限结构中的适用性进行检验,在此基础上分析了我国利率期限结构的动态调整过程,以及利率期限结构变动中的门限效应;其次,刻画我国利率期限结构的非线性变动特征,识别利率期限结构变动的区制状态,并且通过选取适合的货币政策指示变量,检验利率期限结构与货币政策之间的关联性;第三,检验我国财政政策与利率期限结构之间的影响关系,模拟两者之间的冲击效应,并且从时变性与非对称性的角度实证分析财政政策对利率期限结构的影响特征;第四,分析并且检验我国利差变量对经济周期波动的先行性,选取合适的利差变量构建经济周期波动的预测模型,并且通过对预测模型的样本内与样本外预测效果的比较,对不同模型的预测效果进行分析与评价;第五,设定与估计总需求、总供给和货币政策与利率期限结构之间的宏观—金融模型,基于模型分析宏观经济态势与短期利率调整之间的相关性,模拟宏观经济冲击对利率期限结构的冲击效应,并且将不同期限利率的预期成分与风险溢价成分进行分解。
The linkage between term structure of interest rate and macro-economy is one of the forward research areas of macroeconomics and finance. Using the econometric model which is suit to the actual situation of Chinese economy, we test and analyze the association mechanism of term structure of interest rate and macro-economy. It can not only enrich the content of theoretical study of the term structure of interest rate, but also promote the application of term structure policy of interest rate. Based on the research of scholars at home and abroad and the actual situation of our country’s economy, the paper analyzes and tests the relationship between term structure of interest rate and macro-economy systematically, and try to provide theoretical support and empirical basis for effective application of term structure of interest rate in macroeconomic analysis.
The paper is divided into seven chapters, the specific structural arrangements and conclusions as follows:
The first chapter is research review on the relationship of term structure of interest rate and the macro-economy. This chapter describes the role of interest rate in macroeconomic analysis and some typical studies on relationship of term structure of interest rates and macro-economy First, this chapter analyzes the role of interest rate in macroeconomic analysis. Second, it describes the research on the relationship of term structure of interest rate and macro-economy. Finally, it describes the foundation and application of the macro-financial model.
The second chapter is the relevant theory and model of term structure of interest rate. This chapter cards and analyzes the related theory basis of term structure of interest rate. First, it describes the basic theory on term structure of interest rate. Second, it introduces the classical model and extended model of term structure of interest rate. Finally, it summarizes and briefly comments the research practice on the term structure of interest rates in China.
The third chapter is the change analysis on term structure of interest rate. This chapter studies changes characteristics of the term structure of interest rate. First, using the cointegration approach, it tests term structure theory of interest rate empirically. Second, using the ECM model, it depicts the dynamic adjustment process of term structure of interest rate. Finally, using T-VECM model, it checks the threshold effect in the change of term structure of interest rate. This chapter finds that the equilibrium relationship of interest rates which expected theory describes has adjusted role on term structure of interest rate in China. There is significant cointegraion relationship between long and short interest rates. Expectations theory set up approximately in term structure of interest rate in China. Long and short interest rates in the short interest rate deviates from the equilibrium relationship. But equilibrium relationship will make them adjust to equilibrium estate gradually, and equilibrium relationship has more impact on long-term interest rate than short-term interest rate. At the same time, there is a significant threshold effect in the dynamic process of term structure of interest rates. Threshold effect is not only the adjusted results of balanced relationship, but also it may be a combination manifestation of changes in macroeconomic situation
The fourth chapter is the term structure and monetary policy. This chapter tests the correlation between the term structure of interest rate and monetary policy. First, it briefly analyzes the interaction between term structure of interest rates and monetary policy. Second, it depicts the dynamic characteristics of the term structure of interest rates using MS-VECM model, and identifies the change regimes of term structure of interest rate. Third, it uses binary choice model to test the relationship of term structure of interest rate and monetary policy. Finding of this chapter is that there is the correlation between term structure of interest rate and monetary policy. Change of term structure of interest rate can be divided into two regimes and it has a nonlinear characteristic. The self-sustainability and frequency of regimes is different, and the transfer between regimes has non-symmetry. Output gap and inflation gap which are indicator variables of monetary policy have relationship with the change regimes of term structure of interest rate. Term structure of interest rate can reflect the development trend of Chinese monetary policy, and it can serve as standard of reference and analysis tools of monetary policy.
The fifth chapter is the term structure and fiscal policy. This chapter analyzes the effect of fiscal policy to the term structure of interest rate. First, it analyzes the effect of fiscal policy to the term structure of interest rate briefly. Second, using the VAR model, it tests the effect relationship between fiscal policy and the term structure of interest rate. Third, using variable parameter model and TARCH model, it analyzes Time variability and non-symmetry of effects of fiscal policy to term structure of interest rate. Chinese fiscal policy has a significant effect on the term structure of interest rate. There is significant two-way Granger impact between fiscal policy and term structure of interest rate. The impact of fiscal policy variables have positive impact on spreads variables basically, spreads variables have positive impact on the fiscal policy variables. Overall, impact of fiscal policy on term structure of interest rate is gradually weakened, and with the cyclical fluctuation, it has obvious time-varying characteristics. At the same time, fiscal policy has obvious non-symmetry impact on the term structure of interest rate, and this makes the volatility of the spread reduce.
The sixth chapter is term structure of interest rate and economy cycle. This chapter examines the predictive ability of term structure of interest rate to fluctuations of economy cycle empirically. First, it analyzes forecasting ability of term structure of interest rate to macroeconomic trends. Second, based on business cycle theory, we can select leading indicators of spreads. Third, it uses dynamic Probit model to check the predictive ability of term structure of interest rate to fluctuations state of economy cycle. Spread variables are leading indicators of the economic cycle in China, leading period is. The estimated results of prediction model of economic cycle within sample shows that we can improve the overall forecasting effect of the model significantly. Therefore, the term structure of interest rate is effective variables which can forecast state of economy cycle, and it has important meanings that we consider the prior information of economic status when we predict. The result of model without sample shows that the forecasting effect of dynamic model is better than static model, and we can improve the forecasting accuracy by iterative prediction method.
The seventh chapter is the impact of macroeconomic to the term structure of interest rate. The chapter identifies and measures the effect of various macroeconomic factors to term structure of interest rate. First, it describes the basic principles of macro- of financial model. Second, it sets the specific form of macro-financial model, and it estimates the model using Chinese data. Third, according to the estimated results of the model, we can analyze the effect of macro-economy to term structure of interest rate. Based on the analysis of macro-financial model, it shows that macro-economy has significant impact on the term structure of interest rate. Short-term interest rate is an important transmission variable that macro-economy can impact term structure of interest rate. Macro-economy can impact term structure of interest rate through short-term interest rate. Shocks of macro-economy have similar effects on interest rate of different terms, the impact of various shocks decrease over time gradually. Different term structure of interest rate can be decomposed into expected components and risk premium components significantly. Changes of macroeconomic situation can affect expected components and risk premium components of interest rate significantly. It can affect the state of term structure of interest rate further.
The linkage between term structure of interest rate and macro-economy is one of the forward research areas of macroeconomics and finance. Using the econometric model which is suit to the actual situation of Chinese economy, we test and analyze the association mechanism of term structure of interest rate and macro-economy. It can not only enrich the content of theoretical study of the term structure of interest rate, but also promote the application of term structure policy of interest rate. Based on the research of scholars at home and abroad and the actual situation of our country’s economy, the paper analyzes and tests the relationship between term structure of interest rate and macro-economy systematically, and try to provide theoretical support and empirical basis for effective application of term structure of interest rate in macroeconomic analysis.
The paper is divided into seven chapters, the specific structural arrangements and conclusions as follows:
The first chapter is research review on the relationship of term structure of interest rate and the macro-economy. This chapter describes the role of interest rate in macroeconomic analysis and some typical studies on relationship of term structure of interest rates and macro-economy First, this chapter analyzes the role of interest rate in macroeconomic analysis. Second, it describes the research on the relationship of term structure of interest rate and macro-economy. Finally, it describes the foundation and application of the macro-financial model.
The second chapter is the relevant theory and model of term structure of interest rate. This chapter cards and analyzes the related theory basis of term structure of interest rate. First, it describes the basic theory on term structure of interest rate. Second, it introduces the classical model and extended model of term structure of interest rate. Finally, it summarizes and briefly comments the research practice on the term structure of interest rates in China.
The third chapter is the change analysis on term structure of interest rate. This chapter studies changes characteristics of the term structure of interest rate. First, using the cointegration approach, it tests term structure theory of interest rate empirically. Second, using the ECM model, it depicts the dynamic adjustment process of term structure of interest rate. Finally, using T-VECM model, it checks the threshold effect in the change of term structure of interest rate. This chapter finds that the equilibrium relationship of interest rates which expected theory describes has adjusted role on term structure of interest rate in China. There is significant cointegraion relationship between long and short interest rates. Expectations theory set up approximately in term structure of interest rate in China. Long and short interest rates in the short interest rate deviates from the equilibrium relationship. But equilibrium relationship will make them adjust to equilibrium estate gradually, and equilibrium relationship has more impact on long-term interest rate than short-term interest rate. At the same time, there is a significant threshold effect in the dynamic process of term structure of interest rates. Threshold effect is not only the adjusted results of balanced relationship, but also it may be a combination manifestation of changes in macroeconomic situation
The fourth chapter is the term structure and monetary policy. This chapter tests the correlation between the term structure of interest rate and monetary policy. First, it briefly analyzes the interaction between term structure of interest rates and monetary policy. Second, it depicts the dynamic characteristics of the term structure of interest rates using MS-VECM model, and identifies the change regimes of term structure of interest rate. Third, it uses binary choice model to test the relationship of term structure of interest rate and monetary policy. Finding of this chapter is that there is the correlation between term structure of interest rate and monetary policy. Change of term structure of interest rate can be divided into two regimes and it has a nonlinear characteristic. The self-sustainability and frequency of regimes is different, and the transfer between regimes has non-symmetry. Output gap and inflation gap which are indicator variables of monetary policy have relationship with the change regimes of term structure of interest rate. Term structure of interest rate can reflect the development trend of Chinese monetary policy, and it can serve as standard of reference and analysis tools of monetary policy.
The fifth chapter is the term structure and fiscal policy. This chapter analyzes the effect of fiscal policy to the term structure of interest rate. First, it analyzes the effect of fiscal policy to the term structure of interest rate briefly. Second, using the VAR model, it tests the effect relationship between fiscal policy and the term structure of interest rate. Third, using variable parameter model and TARCH model, it analyzes Time variability and non-symmetry of effects of fiscal policy to term structure of interest rate. Chinese fiscal policy has a significant effect on the term structure of interest rate. There is significant two-way Granger impact between fiscal policy and term structure of interest rate. The impact of fiscal policy variables have positive impact on spreads variables basically, spreads variables have positive impact on the fiscal policy variables. Overall, impact of fiscal policy on term structure of interest rate is gradually weakened, and with the cyclical fluctuation, it has obvious time-varying characteristics. At the same time, fiscal policy has obvious non-symmetry impact on the term structure of interest rate, and this makes the volatility of the spread reduce.
The sixth chapter is term structure of interest rate and economy cycle. This chapter examines the predictive ability of term structure of interest rate to fluctuations of economy cycle empirically. First, it analyzes forecasting ability of term structure of interest rate to macroeconomic trends. Second, based on business cycle theory, we can select leading indicators of spreads. Third, it uses dynamic Probit model to check the predictive ability of term structure of interest rate to fluctuations state of economy cycle. Spread variables are leading indicators of the economic cycle in China, leading period is. The estimated results of prediction model of economic cycle within sample shows that we can improve the overall forecasting effect of the model significantly. Therefore, the term structure of interest rate is effective variables which can forecast state of economy cycle, and it has important meanings that we consider the prior information of economic status when we predict. The result of model without sample shows that the forecasting effect of dynamic model is better than static model, and we can improve the forecasting accuracy by iterative prediction method.
The seventh chapter is the impact of macroeconomic to the term structure of interest rate. The chapter identifies and measures the effect of various macroeconomic factors to term structure of interest rate. First, it describes the basic principles of macro- of financial model. Second, it sets the specific form of macro-financial model, and it estimates the model using Chinese data. Third, according to the estimated results of the model, we can analyze the effect of macro-economy to term structure of interest rate. Based on the analysis of macro-financial model, it shows that macro-economy has significant impact on the term structure of interest rate. Short-term interest rate is an important transmission variable that macro-economy can impact term structure of interest rate. Macro-economy can impact term structure of interest rate through short-term interest rate. Shocks of macro-economy have similar effects on interest rate of different terms, the impact of various shocks decrease over time gradually. Different term structure of interest rate can be decomposed into expected components and risk premium components significantly. Changes of macroeconomic situation can affect expected components and risk premium components of interest rate significantly. It can affect the state of term structure of interest rate further.
引文
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