宏观经济变化对利率期限结构的影响机制研究

利率期限结构的变化受到各种宏观经济因素的影响,本文通过建立结构VAR模型,发现宏观经济冲击对不同期限利率水平产生显著影响,但不同冲击产生的影响不同;水平、倾斜和曲度3个因素可以解释90%以上的利率曲线变化,但水平因素的解释能力与成熟市场相比较弱;利用脉冲反应和方差分解,发现实际经济变化主导着利率的倾斜因素和曲度因素的变化,而货币政策是影响利率水平因素变化的主要原因,对其他因素的影响较弱,这一点与发达国家的成熟市场存在较大差别。

Influence Mechanism of Macro-economic Variance on Interest Rate Term Structure

The variance of interest rate＇s term structure is largely influenced by macroeconomic factors. By establishing the structural VAR model （SVAR）,it is found that to a large extent the long-term interest rate variability of all maturities is driven by maeroeeonomie impulses, with different effects on interest rates. The explanation extent of the three factors in interest rate level, slope and curvature can reach 90%. In addition, by resorting to the impulse function and variance decomposition, it is found that actual economic development dominates the movement of slope factor and curvature factor and monetary policy has limited effect on other factors except for level factor when compared with developed markets.