| 存贷款利率水平提高对国债收益率曲线变动影响的分析--基于单因素方差分析方法的实证研究 |
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| 引用本文： | 董研,张可,潘垚垚. 存贷款利率水平提高对国债收益率曲线变动影响的分析--基于单因素方差分析方法的实证研究[J]. 华东经济管理, 2005, 19(9): 131-136 |
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| 作者姓名： | 董研 张可 潘垚垚 |
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| 作者单位： | 南开大学,经济学院,天津,300071;中央财经大学,保险学系,北京,100081 |
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| 摘 要： | 文章运用方差分析的方法,以九年来存贷款利率首次提高为切入点,考察了在我国特殊的金融运行体制下,存贷款利率变动对债券市场,对债券收益率曲线所产生的影响。文章使用上海证券交易所19支上市国债的日交易收盘数据,通过回归的方法首先拟合出了加息前后三个时间间隔段内每天的
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| 关 键 词： | 存贷款利率 国债收益率曲线 单因素方差分析 |
| 文章编号： | 1007-5097（2005）09-0131-06 |
| 收稿时间： | 2005-04-27 |
| 修稿时间： | 2005-04-27 |
An Analysis about the Impact of Deposit and Loan's Rates Hike on the Yield Curve of Bond-A Positive Analysis Based on the One-way ANOVA |
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| DONG Yan,ZHANG Ke,PAN Yao-yao. An Analysis about the Impact of Deposit and Loan's Rates Hike on the Yield Curve of Bond-A Positive Analysis Based on the One-way ANOVA[J]. East China Economic Management, 2005, 19(9): 131-136 |
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| Authors: | DONG Yan ZHANG Ke PAN Yao-yao |
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| Affiliation: | 1.School of Economics,Nankai University,Tianjin 300071,China;2.Insurance Department,the Central Unversity of Finance and Economics,Beijing 100081,China) |
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| Abstract: | This paper focuses on the impact of deposit and loan's rates hike on the yield curve of bond.Using the data of closing prices of nineteen bonds listed in the Shanghai Stock Exchange,the paper first fits the daily yield curve within three specified time period-one before the deposit and loan's rate hike the other two after the interest hike.Then the paper tests the significance of the difference on yield curve's intercept and slope between these three time periods by the means of one-way ANOVA and gives the result that the hike of deposit and loan's rates incur a significant change on the bond's yield curve both in the level factor and the slope factor. |
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| Keywords: | deposit and loan's rate yield curve of bond one-way ANOVA |
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