摘要
本文利用Nelson-Siegel模型,通过实证分析发现:存贷差、狭义货币供应量和保费收入对利率水平有负效应,而工业增加值、企业商品价格指数和上证指数对利率水平有正效应;工业增加值与企业商品价格指数的增加会使利率曲线斜率下降,而狭义货币供应量与保费收入的增加则会使斜率上升。这对预测利率曲线的变化,从而规避由于利率曲线的非平行移动所产生的利率风险有重要的参考意义。
This paper first explains the Nelson-Siegel model as a three-factor model, namely, the level, slope and curvature. Through empirical analysis, we find that difference between the deposit and loan of band, M1 and insurance revenue of insurance company statistically have a negative effect on the overall level of interest rate term structure, meanwhile, the industrial increments, CGPI and Shanghai composite stock index statistically have a positive impact on the overall interest rate level, moreover, the industrial increments and CGPI affect the slope negatively while the M1 and insurance revenue influence the slope positively, And the factors affecting the curvature still remain unknown.
出处
《财贸研究》
北大核心
2006年第1期71-75,共5页
Finance and Trade Research
