CAJ | 학술논문

本文选取2005-2013年中国银行间市场国债交易数据，借助动态NS模型提供的水平、斜率和曲度因子刻画利率期限结构特征，基于结构突变检验方法，实证判别了利率期限结构与宏观经济因素之间影响关系的稳定性。结果表明：利率期限结构存在显著的结构变化特征，而基于三类动态因子结构突变点进行分段回归的效果，明显优于固定系数模型的回归效果，且系数的估计结果存在显著性差异，说明宏观经济因素对利率期限结构的影响显著，但并不稳定，其影响结果依赖于人们关于宏观经济运行的预期。因此，政府在政策选择过程中必须有的放矢，以提升政策制定的合理性和有效性。
본문선취2005-2013년중국은행간시장국채교역수거，차조동태NS모형제공적수평、사솔화곡도인자각화리솔기한결구특정，기우결구돌변검험방법，실증판별료리솔기한결구여굉관경제인소지간영향관계적은정성。결과표명：리솔기한결구존재현저적결구변화특정，이기우삼류동태인자결구돌변점진행분단회귀적효과，명현우우고정계수모형적회귀효과，차계수적고계결과존재현저성차이，설명굉관경제인소대리솔기한결구적영향현저，단병불은정，기영향결과의뢰우인문관우굉관경제운행적예기。인차，정부재정책선택과정중필수유적방시，이제승정책제정적합이성화유효성。
Using level, slope and curvature latent factors estimated by dynamicNelson-Siegel Model, which depict the characteristics of the term structure of interest rate in China, this paper testifies empirically the stability of inter-relationships between macroeconomic factors and the term structure basing on Structure Change Testing method with 2005-2013 China＇s interbank transaction data. The results show that： there are obvious structure changes among the term structure of china interest rates, and the goodness of fit for regressions based on structure change points identified, whose estimated coefficients display significant differences among distinct phases, is better than fixed-coefficient regressions, indicatingthat macroeconomic factors have notable but unstable influences to the term structure of interest rate, and the unstable influences depend on the expectation of people to the situation of the economy. Therefore, policies of the government should be planed and targeted firstly to improve validity and rationality.