我国国债利率效应及其实证分析

Effect of Public Debt on Interest Rate

国债的利率效应是衡量政府政策效果的重要指标。本文运用OLS方法和Granger-Causality检验,对我国中长期国债的利率效应进行了研究。结果表明:我国中长期国债对市场利率具有微妙的正面效应,长期国债利率效应相对显著;我国国债对市场利率的托宾效应并不显著,政府投资可能对私人投资产生挤出效应。研究政府债务与市场利率之间的关系,对于政府行为与市场机制关系的理论研究以及避免政策失效具有重要意义。

The effect of public debt on interest rate is an important indicator to evaluate the government instrument efficiency.The paper explores the effect of public debt on interest rate with OLS and Granger-Causality.The empirical results indicate minor positive effect of long and medium term bond on interest rate,insignificant Tobin effect on bond market,and crowding-out effect of government investment on private investment.