CAJ | 학술논문

本文利用动态Nelson Siegel模型估计国债利率期限结构,并构建时变参数向量自回归（TVP-VAR）模型研究利率期限结构与宏观经济之间的关系,从中探寻利率期限结构隐含的宏观经济信息。研究结果表明,总体上我国利率期限结构的调整与经济运行相匹配,利率期限结构发挥了对经济周期和通货膨胀的“指示器”作用;我国利率期限结构在形态及变化特征上与成熟市场经验相比存在偏差,且货币政策利率对利率期限结构变化的反应不够灵敏;相比经济周期和通货膨胀而言,我国利率期限结构没有明确体现出货币政策利率调控的信息。这些结论为我们进一步健全国债利率期限结构、完善货币政策传导机制提供思路。
본문이용동태Nelson Siegel모형고계국채리솔기한결구,병구건시변삼수향량자회귀（TVP-VAR）모형연구리솔기한결구여굉관경제지간적관계,종중탐심리솔기한결구은함적굉관경제신식。연구결과표명,총체상아국리솔기한결구적조정여경제운행상필배,리솔기한결구발휘료대경제주기화통화팽창적“지시기”작용;아국리솔기한결구재형태급변화특정상여성숙시장경험상비존재편차,차화폐정책리솔대리솔기한결구변화적반응불구령민;상비경제주기화통화팽창이언,아국리솔기한결구몰유명학체현출화폐정책리솔조공적신식。저사결론위아문진일보건전국채리솔기한결구、완선화폐정책전도궤제제공사로。
We use Dynamic Nelson - Siegel model to estimate the term structure of interest rates for Chinese government bonds. In order to study the macroeconomic information implied in the term structure,we also use a Time - varying Parameter Vector Autoregressive （TVP - VAR） model to analyze the relationship between term structure and the macro - economy. Our results showed that, the movement of China＇ s term structure matched the economic fundamentals well. In general, China＇ s term structure of interest rates had indicative effect on economic cycle and inflation; there was deviation between the dynamic characteristics of China＇ s term structure and that of America; Compared with mature markets experience in America, the reaction of China＇ s monetary policy to changes of the term structure was not sensitive enough. Compared with economic cycle and inflation, term structure in China did not embody enough provided us suggestions to further improve mechanism of monetary policy. information about monetary policy. Our conclusion term structure of interest rates and transmission