中国自然利率之谜与债券市场定价——基于宏观金融模型视角

关于发达国家的研究普遍存在使用标准金融模型估计的自然利率与宏观方法估计的自然利率不相符的“自然利率之谜”现象。本文分别使用金融模型和宏观半结构模型估计中国的自然利率,发现同样存在“自然利率之谜”现象。我们通过构建一致性的宏观金融模型,采用宏观经济变量和收益率曲线信息共同估计自然利率来解决这一问题。此外,寻找债券收益率的影响因子是债券定价研究的重要方面,宏观与金融模型的结合是债券定价研究的重要趋势。宏观金融理论表明,趋势通货膨胀和自然利率是收益率曲线的基本决定因素,在宏观金融框架下,我们进一步研究了自然利率对债券收益率的影响。研究结果表明:(1)宏观金融模型能很好地解决中国“自然利率之谜”问题,宏观金融模型估计得到的自然利率略低于宏观半结构模型的结果。(2)自然利率对债券收益率有显著影响,模型中增加自然利率信息能够提高对不同期限国债收益率的拟合优度。本文对进一步加强自然利率影响因素研究,运用一致性宏观金融模型得到的自然利率信息优化货币政策效果提供了参考。

The Natural Interest Rate Puzzle in China and Bond Market Pricing: Insights from A Macro-finance Model

The natural interest rate is an important concept in macroeconomics and finance, as it provides a benchmark for calibrating the stance of monetary policy. It also affects the price of financial assets and the allocation of large categories of assets by affecting the discount rate in the financial market. However, the natural interest rate is unobservable and is thus estimated in the macroeconomic literature and the financial literature using various methods. An implicit assumption of the finance-based approach is that the financial market is efficient . This implies that additional economic and financial information is needed to jointly predict future trends in interest rates and estimate the natural interest rate. Macro-based estimates of the natural interest rate are heavily dependent on the assumptions of the models used, which often omit important variables. The discrepancy between the natural interest rate estimated using financial methods and that estimated using macroeconomic methods is termed the “natural interest rate puzzle.” This study finds key evidence for such a discrepancy in China and this discrepancy could lead to disturbances in the formulation of monetary policy, which requires a more accurate estimate of the natural interest rate than those that are currently used.
In this study, we estimate China's natural interest rate using a financial model and a macroeconomic semi-structural model, and confirm that China also faces the natural interest rate puzzle. We solve the puzzle by constructing a consistent macro-finance model that estimates the natural interest rate by utilizing both macroeconomic variables and yield curve information. The interest rate and the natural interest rate represent an important intersection of macroeconomics and finance research. Specifically, not only do the yield curve and other financial variables have an important impact on the estimation of the natural interest rate, but the accurate estimation of the natural interest rate has an important impact on asset pricing. Identifying the factors influencing bond yields and combining macroeconomics and finance factors are important trends in bond pricing research. Macro-finance theory shows that the trend of inflation and the natural interest rate are the basic determinants of the yield curve. Under the macro-finance framework, we further study the impact of the natural interest rate on bond pricing. We obtain yield data from the CCDC, and use the quarterly values of monthly year-on-year CPI data as the inflation rate. We take the first quarter of 2011 as the base period, and obtain the value of real GDP from the nominal GDP and GDP year-on-year growth rate and quarter-on-quarter growth rate, which are logarithmically processed and seasonally adjusted by X-13. The data are acquired from the Wind Economic Database and CEIC database.
The results lead to two conclusions. (1) The macro-finance model could solve China's natural interest rate puzzle, and estimates a lower natural interest rate than that estimated by the macroeconomic model. (2) The natural interest rate has a significant impact on bond yields. Adding the natural interest rate can improve the goodness-of-fit of bond yields to the yield curve across a range of maturities.
An important contribution we make in this study is to apply the framework of Brand et al. (2020) to solve a theoretical problem—the natural interest rate puzzle—and expand the application of this method by incorporating fundamental information on China's interest rate liberalization reform. We also empirically test the important role of the consistent natural interest rate that we estimate in describing the dynamics of the bond yield.