基于面板模型的中国国债风险溢价实证研究

A panel-based empirical study on risk premium of China's T-bonds

该研究采用面板模型实证分析了2003年12月至2008年4月上海证券交易所债券市场国债风险溢价与利率期限结构及宏观经济变量的关系。实证结果显示,上期利率期限结构曲线越陡峭,当期国债风险溢价越高;上期通货膨胀水平越高,当期国债风险溢价越高,而再延长一期滞后期,会发现滞后第二期的通货膨胀水平与当期国债风险溢价存在显著负关系;货币供应同比增速增加时,国债风险溢价水平降低。

Using panel data from December 2003 to April 2008, this paper studies the role of term structure of interest rates and macroeconomic variables in determining bond yields and risk premium on the T-bond market of the Shanghai Stock Exchange. The main findings are： 1） the steeper the curve of term structure of interest rates during the previous period, the higher the risk premium of current T-bonds; 2） the higher the level of previous inflation, the higher the risk premium of current T-bonds, Moreover, there is a significant negative relationship between the risk premium of current T-bonds and the inflation two months before; and 3） with accelerated growth of money supply, the level of risk premium of bonds begins to decrease.