利率期限结构与宏观经济因素的动态相依性——基于VAR模型的经验研究

Dynamic Dependence of Term Structure of Interest Rates and Macroeconomic Factors:Empirical Studies Based on VAR Models

利率期限结构的变化受到各种宏观经济冲击的影响,宏观经济冲击通过利率期限结构的变化影响到资产收益曲线。文章通过估计和检验结构VAR模型,发现货币冲击、供给冲击和价格冲击都对短期利率产生了持续显著的影响,而对长期利率则没有显著作用效果。宏观经济冲击只对收益曲线的截距参数具有显著影响,而对收益曲线的斜率参数和曲率参数的影响微弱。

The term structure of interest rates has been influenced by macroeconomic shocks. Macroeconomic shocks also have affected the yield curve through the term structure of interest rates. By estimating and testing the structural VAR model, we find that the monetary shock, supply shock and price shock have significant and persistent effects on the short term interest rates, but have no significant effects on long term interest rates. At the same time, macroeconomic shocks have a more persistent effect on the level of the yield curve, but have little effect on the slope and curvature of the yield curve.