宏观经济对利率期限结构的动态影响研究

本文通过结构VAR模型发现宏观经济冲击对各期限利率水平产生显著的影响，但不同类型的冲击产生的影响不同：与成熟市场相似，90％以上的利率曲线变化可以由水平、倾斜和曲度因素来解释，且更多表现为平行移动；利用脉冲反应和方差分解，发现价格水平对水平因素的影响最大，而货币政策变化是倾斜因素和曲度因素变化的主要原因，这既体现了央行货币政策操作的有效性，也表明现阶段银行间市场利率期限结构的信息敏感性。这与成熟市场的表现是非常相似的。

An Empirical Research Of Dynamic Effect on Term Structure by Macroeconomic Factors

The term structure of interest rates has been influenced by macroeconomic factors. By estimating the structural VAR model, we find that a large part of the long-run variability of interest rates of all maturities is driven by macroeconomic impulses, with different effect on interest rates. Additionally, by resorting to the impulse function and variance decomposition, we find that monetary policy dominates the movements of slope factor and curvature factor, 11.2% and 22.5%, and the price level behavior has a...