潜在变量、宏观变量与动态利率期限结构——基于DRA模型的实证分析

Latent Variables,Macroeconomic Variables and the Dynamic Term Structure of Interest Rate:An Empirical Analysis Based on DRA Model

本文从金融-宏观经济学视角出发,运用DRA模型研究了潜在变量、宏观变量与利率期限结构之间的动态关系。通过脉冲响应函数分析了潜在变量与宏观变量之间的相互冲击效应的大小,以及潜在变量、宏观变量对收益率曲线冲击的影响,借助于方差分解量化了潜在变量、宏观变量冲击对收益率曲线预测误差的贡献率,并利用似然比检验,发现中国的收益率曲线与宏观变量之间存在双向的互动关系,但收益率曲线对未来宏观变量的影响更强。

From the financial and maeroeconomic perspective, this paper employs DRA model to study on the relationship between latent variables, macroeconomic variables and the term structure of interest rates. The impulse -response function is used to show the mutual shock effects between latent variables and maeroeconomie variables as well as the shocks to yield curves. We also use variance decomposition to analyze the contributions of latent variables and macroeconomic variables to the proportions of yield forecasting variance. LR test shows there exists dynamic interactions between the macroeconomy and the yield curves, however, the influence of the yield curve is much stronger.