| 潜在变量、宏观变量与动态利率期限结构——基于DRA模型的实证分析 |
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| 引用本文： | 吴吉林,金一清,张二华.潜在变量、宏观变量与动态利率期限结构——基于DRA模型的实证分析[J].经济评论,2010(1). |
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| 作者姓名： | 吴吉林 金一清 张二华 |
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| 作者单位： | 厦门大学王亚南经济研究院;丽水学院人文学院;上海财经大学经济学院; |
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| 摘 要： | 本文从金融-宏观经济学视角出发,运用DRA模型研究了潜在变量、宏观变量与利率期限结构之间的动态关系。通过脉冲响应函数分析了潜在变量与宏观变量之间的相互冲击效应的大小,以及潜在变量、宏观变量对收益率曲线冲击的影响,借助于方差分解量化了潜在变量、宏观变量冲击对收益率曲线预测误差的贡献率,并利用似然比检验,发现中国的收益率曲线与宏观变量之间存在双向的互动关系,但收益率曲线对未来宏观变量的影响更强。
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| 关 键 词： | 潜在变量 宏观变量 利率期限结构 脉冲响应 方差分解 |
Latent Variables,Macroeconomic Variables and the Dynamic Term Structure of Interest Rate:An Empirical Analysis Based on DRA Model |
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| Wu JilinJin YiqingZhang Erhua.Latent Variables,Macroeconomic Variables and the Dynamic Term Structure of Interest Rate:An Empirical Analysis Based on DRA Model[J].Economic Review,2010(1). |
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| Authors: | Wu JilinJin YiqingZhang Erhua |
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| Institution: | Xiamen University;Lishui University;Shanghai University of Finance and Economics |
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| Abstract: | From the financial and macroeconomic perspective,this paper employs DRA model to study on the relationship between latent variables,macroeconomic variables and the term structure of interest rates.The impulse-response function is used to show the mutual shock effects between latent variables and macroeconomic variables as well as the shocks to yield curves.We also use variance decomposition to analyze the contributions of latent variables and macroeconomic variables to the proportions of yield forecasting v... |
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| Keywords: | Latent Variables Macroeconomic Variables Term Structure of Interest Rates Impulse-response Function Variance Decomposition |
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