CAJ | 학술논문

本文突破了传统上用几个关键期限利率的组合作为利率期限结构的代理变量，而是选用动态Nelson-Siegel模型估计出的潜在因子。且经验证明，本文选择的潜在因子较传统方法能更好地体现中国银行间国债市场的利率期限结构特征。同时，本文研究发现宏观经济在边际上影响着利率期限结构，其主是实体经济（CPI和工业增加值）对斜率和曲度的影响，而对利率期限结构的平位移动没有明显影响。原因是中国存在着利率管制，而更为重的是银行作为中国银行间国债市场的交易主体，其资金面较为宽松和稳定，有足够的资金用于国债交易。因此各期限国债利率无法对宏观经济变量作出及时响应。
본문돌파료전통상용궤개관건기한리솔적조합작위리솔기한결구적대리변량，이시선용동태Nelson-Siegel모형고계출적잠재인자。차경험증명，본문선택적잠재인자교전통방법능경호지체현중국은행간국채시장적리솔기한결구특정。동시，본문연구발현굉관경제재변제상영향착리솔기한결구，기주시실체경제（CPI화공업증가치）대사솔화곡도적영향，이대리솔기한결구적평위이동몰유명현영향。원인시중국존재착리솔관제，이경위중적시은행작위중국은행간국채시장적교역주체，기자금면교위관송화은정，유족구적자금용우국채교역。인차각기한국채리솔무법대굉관경제변량작출급시향응。
This paper broke through the traditional choice with the combination of several key terms asproxy variable of term structure of interest rates （TSIR）, and chose the potential factors based on dynam-ic Nelson-Siegel model. The empirical results showed that this choice was suitable and macro economy af-fected TSIR on the marginal. The real economy （CPI and industrial added value） significantly affected thesloped and curvature of TSIR, but it had limited influence on the level of TSIR. There were two main rea-sons. Firstly, bank was the main body of the inter-bank bond market with relatively easy and stable finan-cing area for bond trading. Secondly, the interest rate was regulated in China. These reasons limited thebond yields in response of macro economy timely.