中国国债利率期限结构突变与动因分析——基于无套利宏观金融模型的视角

已有研究表明中国宏观经济和金融市场近20年来表现出区制转换和非线性特征,在此背景下国债市场是否也存在结构性变化,将关系到利率模型的稳定性和经济政策的效果。文章基于未知间断点的结构突变方法实证检验2002年到2015年间中国国债利率期限结构,并通过把新凯恩斯动态一般均衡框架嵌入仿射无套利期限结构模型中,解释突变的宏观动因。结果认为,受2005年金融市场一系列重大改革的累积和联动影响,中国国债利率期限结构于2005年11月发生了显著的结构变化;间断后由于市场风险水平降低,货币政策波动性减小,所以利率偏离预期假说的程度锐减;与货币政策相关的斜率因子风险价格的减小是突变的关键动因。     

中国主要宏观经济变量与利率期限结构的关系:基于VAR-ATSM模型的分析

本文利用VAR-ATSM模型对中国利率期限结构与经济增长、通货膨胀和利率的相互关系进行分析。研究结果表明,在不同期限利差中,较长期利率利差对经济增长率和通货膨胀率的短期预测能力较弱,而中长期预测能力较强。不同期限利差均对短期利率具有较强的短期预测能力,时期越短,预测能力越强。经济增长、通货膨胀和短期利率冲击对不同期限利率在短、中期内产生正向影响。经济增长和短期利率冲击对不同期限利差产生负向影响,而通货膨胀冲击对不同期限利差产生正向影响。     

支持货币政策的利率期限结构模型

无论从国际还是国内来看,支持货币政策的利率期限结构研究意义重大;对于该问题的近期研究工作主要集中于从利率期限结构中剖析支持货币政策的信息、以及探究货币政策对利率期限结构的影响这两方面,也就是研究利率期限结构作为货币政策信息指示器和传导机制的功能;其中还存在许多重要问题有待于进一步研究。     

货币政策对收益率曲线变动的影响

本文分析了货币政策变动与国债收益率曲线之间在理论上的一般联系。并且根据预期理论,采用主成分分析方法,以央行票据发行利率作为货币政策的工具指标,研究了我国央行的公开市场操作对收益率曲线的影响以及收益率曲线变动模式的影响因素。研究发现中期的国债收益率曲线能够较好的反应货币政策的变化。但是,受水平因素、倾斜因素、曲率因素和凸度因素的影响,收益率曲线存在明显的短、中、长期分割现象。货币政策的变化使我国的市场收益率曲线发生了非平行的移动,甚至扭曲,传统的预期假说不成立。     

货币政策意外、利率期限结构与通货膨胀预期管理

本文基于利率期限结构分析了通货膨胀预期对中央银行货币政策意外和中央银行沟通行为的反应,并对通货膨胀预期管理的效果进行了评价。结果显示:货币政策意外在一定程度上增加了市场的中短期通胀预期,对长期通胀预期的影响不大;公开市场操作、存贷款利率调整和存款准备金率调整三种货币政策操作对通胀预期的影响存在明显差异;央行惯例沟通对通胀预期没有影响,央行行长讲话会加大通胀预期波动;货币政策操作和央行沟通行为对通胀预期的冲击在2008～2009年出现了结构性变化;通胀预期管理效果一直不佳,需要进一步完善通胀预期形成及其传导机制并改善央行的政策操作与沟通行为。     

引入货币政策变量的中国利率期限结构模型实证研究

金融学者对利率期限结构的微观视角与经济学者对期限结构问题的宏观把握是当前我国乃至世界利率期限结构理论研究的重要特点,如何将这些特点相互结合,处理好宏观政策变量影响下的利率期限结构微观研究问题具有十分重要的意义。本文在纵向上以利率期限结构理论的时间演进为研究主线,首先回顾了利率期限结构问题研究的历史和现状,接下来对货币政策相关变量影响下的现代利率期限结构理论进行了探讨,并针对我国债券市场人为分割的现状,结合银行间债券市场数据进行了实证检验,最后得出本文的结论。     

试析我国企业融资结构对货币政策传导机制的影响

目前，间接融资方式在我国企业融资中处于绝对主导地位，而且不同融资方式内部和不同类型企业融资都存在各自特点和问题。这种企业融资结构对稳健货币政策传导的利率机制和各个环节(如货币市场、商业银行、企业)都产生不同程度的影响，成为制约当前货币政策力度和传导效果的重要因素之一。     

欧洲货币利率的期限结构理论

欧洲货币利率的期限结构理论是西方经济学家对欧洲货币市场进行理论研究的一个部分,也是把西方经济学中关于利率期限的理论直接运用于欧洲货币市场的结果。而存在于欧洲货币市场的多种货币间的套利行为,使欧洲货币利率期限结构的研究与汇率期限结构的研究相结合。     

数字金融、企业异质与货币政策利率渠道的结构效应

本文围绕数字金融影响货币政策利率渠道可能产生的结构扭曲效应问题，通过在信贷市场存在异质摩擦的经济环境中构建数字金融作用机理的理论模型，提出研究假设，并利用中国微观企业和宏观时序样本数据，对假设进行实证检验。研究结果发现，(1)数字金融对货币政策利率渠道的效果具有显著的提升作用；(2)数字金融弱化了货币政策利率渠道的结构扭曲效应；(3)数字金融的作用存在扩张与紧缩政策下的非对称性，并受到企业产权性质的影响。本文的研究为促进“十四五”规划提出的健全市场化利率形成和传导机制，在当前经济下行压力增大时期优化货币政策操作路径，提供了理论依据和政策启示。     

中国国债利率期限结构的风险值研究

本文首先检验了中国交易所和银行间债券市场利率期限结构影响因素的存在情况,之后对影响收益率的因素进行敏感性分析,并将主成分分析与情景分析方法相结合,计算出两市场利率期限结构的风险值,发现只要利用主成分分析的三或四个因素,便可解释大部分样本期间收益率曲线的整体风险变动情况。本文对比了两市场的风险值差异并指出其政策含义。     

The Indonesian macroeconomy and the yield curve: A dynamic latent factor approach

We develop a fine representation of the term structure of interest rates in Indonesia and create a link between the yield curve and macroeconomic fundamentals. We construct a state-space representation of the yield curve as a function of three time-varying parameters: level, slope, and curvature factors. The model is then expanded to include three macroeconomic variables: real activity, inflation, and interest rates. We find that the dynamic latent factor model provides a very good fit to characterise the Indonesian yield curve in terms of the statistical properties for each maturity, and in terms of the properties of three latent yield-curve factors. With regards to the relationship to the macroeconomy, we find that there is a large amount of idiosyncratic variation in the yield curve movements. Therefore, macroeconomic variables can only explain small dynamics in the yield curve.     

Changes in world real interest rates and inflationary expectations

Changes in World Real Interest Rates and Inflationary Expectations. —One of the major macroeconomic puzzles has been that the real interest rates were persistently low in the seventies and persistently high in the eighties. The authors use a news framework to investigate the extent to which shocks in real output, money supply, world trade, oil prices, stock prices and expected inflation affect the world and national real interest rates. They find dominant effects on real interest rates from movements in expected inflation rates. This suggests the presence of persistent misperceptions about future inflation and the need of further research into the formation of inflationary expectations.     

Forecasting China's economic growth and inflation

Although macroeconomic forecasting forms an integral part of the policymaking process, there has been a serious lack of rigorous and systematic research in the evaluation of out-of-sample model-based forecasts of China's real GDP growth and CPI inflation. This paper fills this research gap by providing a replicable forecasting model that beats a host of other competing models when measured by root mean square errors, especially over long-run forecast horizons. The model is shown to be capable of predicting turning points and to be usable for policy analysis under different scenarios. We find that M2 supply, rather than interest rates, is a key variable for forecasting macroeconomic variables. Annual GDP growth for the next five years is predicted to be close to the 6.5% official target and a future GDP growth path is predicted to be of L-shape rather than U-shape.     

Credibility of European economic convergence

Credibility of European Economic Convergence. — The authors analyze economic convergence and its relation to European real interest rate differentials using a clustering method on seven macroeconomic key variables for 1979–1995. The results indicate that monetary convergence has progressed considerably but that there is hardly any real convergence in the EU. They also perform pooled nominal and real interest rate regressions with the individual cluster indicators as explanatory variables. The authors find significant positive effects of external (current account) and internal (unemployment ratios, government finance) imbalances on real interest rates. They also group countries according to economic reputation and find that real indicators remain significant for the high-reputation countries.     

The Monetary Transmission Mechanism, Non-residential Fixed Investment and Housing

We specify a vector autoregression (VAR) model for the U.S. for 1980–2008 to investigate the statistical causal relationships between private non-residential fixed investment, the effective Federal funds rate, personal consumption expenditures, nonfinancial corporate profits, and the nonfinancial corporate credit market debt to test the validity of macroeconomic relationships in a macro model. The VAR utilizes the Toda-Yamamote procedure to test for Granger causality. Our preliminary results show that the transmission mechanism does not work as expected; we find that fixed investment depends on the level of demand in the economy and profits but not on the interest rate. This casts doubt on the usual assumptions about how the monetary transmission mechanism is expected to work. The second part of the paper investigates the effects of the change in the monetary regime towards low and stable interest rates, a policy pursued by the U.S. Fed since the beginning of the 1990s. We find that the new monetary policy regime has the following effects: (1) our VAR model does not support the hypothesis that low interest rates lead to higher fixed nonresidential investment; (2) low interest rates led to a search for higher yields through increasing risk, and (3) they led to an increase in the demand for securitized assets, especially mortgage-backed securities, which eventually resulted in a housing bubble. The overall results therefore raise doubts about the effectiveness of low interest rates as a policy regime designed as a component of a counter-cyclical policy.     

China's investment and rate of return on capital revisited

We revisit China's suspected overinvestment problem by examining the rate of return on capital from two perspectives. First, we find that two existing methods of estimating the rate of return generate conflicting results, and we succeed in reconciling them. Our revised estimates show that the rate of return rose sharply from 1998 to 2014, which helps explain the strong investment drive. Second, we explore what caused the rate of return to rise. We find the explanation lies mainly with the long-term factor of rising total factor productivity but that the short-term cyclical factor of low real interest rates has also contributed.     

The Macroeconomic Determinants of Emigrant Remittances

This paper considers the macroeconomic determinants of migrants' remittances to their countries of origin. In contrast to some previous analyses, we find, using data for Egypt, that both exchange rate and interest rate differentials are important in attracting remittance flows through official channels. We also find that imports financed through remittance earnings have a very high income elasticity which suggests either that these imports are consumer durables and luxury goods or that they are undertaken by higher income groups.     

Interest rate pass-through and monetary policy asymmetry: A journey into the Caucasian black box

This paper analyses the interest rate pass-through for five economies of the Caucasus – Armenia, Azerbaijan, Georgia, Kazakhstan, and Russia. Employing an autoregressive distributed lag (ARDL) specification to monthly data, we find that the interest rate pass-through is systematically incomplete and sluggish, probably due to macroeconomic instability and a low degree of competition in the banking sector. It is not clear whether pass-through has improved over time and asymmetric adjustment is found to characterize the pass-through only occasionally. Overall, our results show a considerable degree of cross-country heterogeneity in the pass-through.     

含跳跃过程的单因子利率模型研究——基于中国国债回购市场的实证分析

在CKLS模型的基础上,笔者提出了一个加入跳跃过程的单因子利率期限结构模型。通过对我国国债回购利率的实证检验,发现加入跳跃过程后,模型不但能更好地拟合实际数据,而且揭示了利率均值回复和水平效应的部分原因,从而增强了模型的解释能力。