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1.
本文利用动态Nelson Siegel模型估计国债利率期限结构,并构建时变参数向量自回归(TVP-VAR)模型研究利率期限结构与宏观经济之间的关系,从中探寻利率期限结构隐含的宏观经济信息。研究结果表明,总体上我国利率期限结构的调整与经济运行相匹配,利率期限结构发挥了对经济周期和通货膨胀的"指示器"作用;我国利率期限结构在形态及变化特征上与成熟市场经验相比存在偏差,且货币政策利率对利率期限结构变化的反应不够灵敏;相比经济周期和通货膨胀而言,我国利率期限结构没有明确体现出货币政策利率调控的信息。这些结论为我们进一步健全国债利率期限结构、完善货币政策传导机制提供思路。  相似文献   

2.
中国国债利率变动因素的实证分析   总被引:1,自引:0,他引:1  
国债利率在利率体系中具有重要的作用,制约其他利率的变动。国债利率的变动与很多因素有关,有可度量的因素和不可度量的因素。在可度量因素中,国债利率、国债回购利率及股票指数之间存在长期均衡关系,而国债到期收益率和股票指数呈负相关。  相似文献   

3.
马克思国债理论对提高我国宏观调控效果的启示   总被引:1,自引:0,他引:1  
马克思研究国债的方法论对于我们今天采取的国债政策仍然具有指导意义。近年来我国通过积极的财政政策扭转了通货紧缩局面,但进入新一轮的经济增长阶段后,存在输入型通货膨胀风险。国债作为国家宏观经济调控工具,其金融功能日益显现。要充分发挥国债调节货币供应量和利率的作用,保持宏观经济均衡。避免国债发行产生的负效应,关键在于改善国债的期限结构,提高公开市场操作效果,以减轻外汇储备快速增长带来的压力。  相似文献   

4.
国债的利率效应是衡量政府政策效果的重要指标.本文运用OLS方法和Granger-Causality检验,对我国中长期国债的利率效应进行了研究.结果表明:我国中长期国债对市场利率具有微妙的正面效应,长期国债利率效应相对显著;我国国债对市场利率的托宾效应并不显著,政府投资可能对私人投资产生挤出效应.研究政府债务与市场利率之间的关系,对于政府行为与市场机制关系的理论研究以及避免政策失效具有重要意义.  相似文献   

5.
有学者依据费雪效应而提出名义利率是通货膨胀理想的指示器,但也有学者对此提出质疑,认为随着通货膨胀的变化,真实利率并不是固定的.因此通货膨胀的变化并不一一对应地反映在名义利率的变化上.笔者则认为,即使通货膨胀和名义利率之间的关系不是固定的,只要两个序列是协整的,二者之间存在长期均衡关系,通货膨胀的变化就会以某个比例反映在名义利率的变化中,名义利率就依然是通货膨胀理想的指示器.研究表明,名义利率适合作为我国通货膨胀的指示器.  相似文献   

6.
今年我国国库券管理制度虽有若干堪称革命性的变化,但利率高悬和发行价格固定两大难题未曾有所改观。这样做的弊端至少有三个:其一,财政部和中央银行每年都要就国债利率进行旷日持久的磋商;其二,在市场利率经常变动的情况下,固定于按票面价格发行国债,或者会加重财政部的债息负担(在市场利率下浮时),或者会使国债无人问津(在市场利率上浮时),进一步还会在市场上引发投机活动;其三,在市场经济国家中,国债利率都发挥着基准利率的作用,也就是说,其他金融工具的利率都要跟着国债利率走,而迄今为止,我国国债利率是依照银行储蓄利率来确定,即简单地在银行同期存款利率之上加若干个百分点,这不利于合理的利率形成机制和利率结构的建立。  相似文献   

7.
我国房地产投资和宏观金融数据的协整分析   总被引:3,自引:0,他引:3  
文章利用全国时间序列数据分析房地产投资与宏观和金融因素之间长期协整关系和Granger因果关系,得出房地产开发投资的协整变量有房价、贷款额和利率,人均GDP和股票筹资额是开发投资的因,开发投资是利率和通货膨胀的因。房地产购房投资以房价和销量为代表。房价的协整变量有人均GDP和房地产开发投资,人均GDP是房价的因,房价是利率和通货膨胀的因。房地产销量的协整变量有利率和贷款额,通货膨胀是房地产销量的因,房地产销量和利率存在着双向的因果关系。最后提出政策建议。  相似文献   

8.
一、我国社会保障基金保值增值现状 目前,社会保障基金增值的主要渠道是购买国债和存入银行,但近年来,央行连续7次调低银行存款利率,国债利率也随之下降,使社保基金的保值增值率人人降低,社保基金的潜在风险极为突出,未来支付压力很大,在通货膨胀时代并不能达到保值增值,因而需要开拓新的投资渠道。我国社保基金从2001年起由社保基金理事会进行管理运作,这部分基金除了存银行、买国债外,还可以用于债券、基金、股票等投资。到2002年底,全国社会保障基金总资产为1241.86亿元,  相似文献   

9.
利率市场化改革是一国金融业发展到一定程度的客观需要和必然结果,也是一国经济体制改革中的核心问题。党的十八届三中全会决定,要"加快推进利率市场化",随后,央行行长在两会上明确表示存款利率或将两年内放开,这意味着我国利率市场化进程进入了加速期,我国储蓄国债面临利率市场化带来的严重冲击和巨大挑战。本文结合国内实际情况,分析得出储蓄国债发展的必然趋势是储蓄国债市场化,并研究在利率市场化定价机制下,当前储蓄国债发行工作存在管理落后、缺乏定价机制、储蓄国债期限结构失衡、流动性差、隐藏提前兑付风险和发行失败风险等问题,并提出构建储蓄国债发行管理体系的对策建议。  相似文献   

10.
我国国债的利率效应与基准利率研究   总被引:9,自引:0,他引:9  
我国转型期国债的利率效应对利率市场化改革上有重要的意义,本文研究表明,由于我国转型期财政金融体制改革未到位,利率以管制为主,货币的财政性发行,所以国债规模及其占GDP比重增大对利率变动的影响很不规则,但我国国债二级市场及其收益率形成,国债一级市场引入竞争性招标机制,国债回购利率市场化,国债期货交易试验及近年来中央银行债券公开市场业务操作等则促进了利率的市场化进程,国债市场利率将成为我国市场经济条件下的基准利率。  相似文献   

11.
Inflation and the fiscal limit   总被引:1,自引:0,他引:1  
We use a rational expectations framework to assess the implications of rising debt in an environment with a “fiscal limit”. The fiscal limit is defined as the point where the government no longer has the ability to finance higher debt levels by increasing taxes, so either an adjustment to fiscal spending or monetary policy must occur to stabilize debt. We give households a joint probability distribution over the various policy adjustments that may occur, as well as over the timing of when the fiscal limit is hit. One policy option that stabilizes debt is a passive monetary policy, which generates a burst of inflation that devalues the existing nominal debt stock. The probability of this outcome places upward pressure on inflation expectations and poses a substantial challenge to a central bank pursuing an inflation target. The distribution of outcomes for the path of future inflation has a fat right tail, revealing that only a small set of outcomes imply dire inflationary scenarios. Avoiding these scenarios, however, requires the fiscal authority to renege on some share of future promised transfers.  相似文献   

12.
Fiscal policy is less credible than monetary policy, due to political economy issues. This paper provides an explicit measure of fiscal credibility, based on the anchoring of private expectations onto official targets. It documents how credibility varied among a sample of 27 European countries over 1995–2019. Credibility behaves like a stock of trust that is affected by fiscal policy, past performance, and institutions (fiscal rules and councils). This paper highlights how regular government communication – budgets and fiscal plans – is crucial to anchor expectations and buttress credibility. Last, it shows that credibility is associated with better sovereign financing conditions. Governments should thus strive to maintain their credibility.  相似文献   

13.
The inflation of the 1970s in the US is often discussed as if the only type of policy action that could have prevented the inflation were monetary policy actions and the only type of policy errors that might have induced the inflation were monetary policy errors. Yet fiscal policy underwent dramatic shifts in the 1970s and economic theory makes clear that in an environment of uncertainty about future fiscal policy, monetary policy instruments may lose potency or have perverse effects. This paper documents the vagaries of fiscal policy in this period and argues that people at the time must have been uncertain about fiscal policy's future course. It also lays out a theoretical framework for understanding the effects of fiscal uncertainties on monetary policy and shows that fiscal variables have predictive value in dynamic models, even if traditional monetary policy indicators are included in the system.  相似文献   

14.
欧元体系财政与货币政策协调性分析   总被引:4,自引:0,他引:4  
欧元区集中统一的货币政策和权力分散的财政政策 ,已有 4年多的实践历程 ,实践表明财政与货币政策协调性较差 ,欧盟的机构设置与政策结构的设计的确存在缺陷 ,采取扩张性货币政策缓解内部冲击与价格稳定首要目标已处于两难境地。实现统一的“大财政”,通过财政转移 ,重新配置资源 ,以帮助成员国吸收不对称冲击的影响 ,是提高欧元体系财政与货币政策协调性措施之一。  相似文献   

15.
We investigate how the short-term effects of fiscal consolidation on output and employment vary with the state of the business cycle, monetary policy, public debt, the current account, and private credit. By examining the response of a large number of variables, we are also able to shed light on the transmission channels of fiscal policy. Our main finding is that short-term output multipliers are below unity, even in states in which multipliers are expected to be larger (eg when the output gap is negative or monetary policy tight). Key offsetting factors that reduce the size of multipliers and explain differences across states are the extent to which the external sector improves and monetary policy eases.  相似文献   

16.
We investigate the reaction of fiscal policy to the business cycle in a panel of 56 developed, emerging and developing economies over 1990–2011. While we strengthen the established finding that fiscal policy is counter-cyclical, additional outcomes emerge from this study. We reveal a non-linear response of fiscal policy to the business cycle, conditional upon the outstanding debt stock. Interestingly, when the public debt-to-GDP ratio goes beyond our endogenously estimated threshold of 87%, fiscal policy turns pro-cyclical. To tackle this effect, we explore the role of fiscal rules (FR). We unveil heterogeneous impacts among FR, as only some of them may mitigate fiscal policy procyclicality in high-debt contexts.  相似文献   

17.
我国积极财政政策在总需求管理过程中起到了重要作用.通过判断我国财政政策工具和财政政策规模与经济周期波动之间的关联,描述结构VAR模型中财政政策的作用和反馈过程,我们发现我国积极财政政策操作过程中体现出了一定程度的相机选择性和对经济周期阶段的依赖性,这意味着在我国经济增长已经出现"软扩张"的经济周期态势下,应当适当调整财政政策的期限结构和政策工具,加强货币政策的组合作用,继续保持积极财政政策对国内产出的作用方向.  相似文献   

18.
Willi Semmler  Wenlang Zhang 《Empirica》2004,31(2-3):205-227
The problem of monetary and fiscal policy interactions is an important issue for the euro area, since the individual member states of the EMU are responsible for their fiscal policies but monetary policy is pursued by a single monetary authority, the ECB. This paper is concerned with empirical evidence on monetary and fiscal policy interactions in the euro area. We first explore fiscal regimes with a VAR model and find empirical evidence that a non-Ricardian fiscal policy has been pursued in both France and Germany. As an example, we then study how one member state of the EMU, namely, Italy, is responding to the common monetary policy with its fiscal policy and find that Italian fiscal policy seemed to be counteractive to the common monetary policy between 1979 and 1998. In order to study monetary and fiscal policy interactions in a more general way, we explore time-varying interactions by estimating a State-Space model with Markov-switching for some Euro-area countries. There appear to be some regime changes in monetary and fiscal policy interactions in France and Germany, but the interactions between the two policies are not strong. Moreover, the two policies have not been accommodative but counteractive to each other. Finally we explore forward-looking behavior in policy interactions and find that expectations do not seem to have played an important role in the policy designs.  相似文献   

19.
统筹区域经济发展的财政政策选择   总被引:2,自引:0,他引:2  
造成我国区域经济发展不平衡的原因是复杂多样的,其中,国家资金投入、税收优惠政策与政府间财政转移支付资金的安排在地区间的非均衡性对我国区域经济差异扩大有着十分突出的影响,而这又归结为国家在一定时期的财政政策选择.借鉴统筹区域经济发展的国际经验,促进我国区域经济的协调发展,应调整财政投资的区域布局和区域性税收政策,完善财政转移支付制度.  相似文献   

20.
Price determination theory typically focuses on the role of monetary policy, while the role of fiscal policy is usually neglected. From a different point of view, the Fiscal Theory of the Price Level takes into account monetary and fiscal policy interactions and assumes that fiscal policy may determine the price level, even if monetary authorities pursue an inflation targeting strategy. In this paper we try to test empirically whether the time path of the government budget in EMU countries would have affected price level determination. Our results point to the sustainability of fiscal policy in all the EMU countries but Finland, although no firm conclusions can be drawn about the prevalence of either monetary or fiscal dominance.  相似文献   

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