中国利率期限结构的非线性动态调整:基于MS-VECM模型的研究途径

The Nonlinear Dynamic Adjustment of China's Interest Rate Term Structure:A Study Based on MS-VECM Model

基于MS-VECM模型对预期理论调整作用下的中国利率期限结构非线性动态过程进行的实证研究,结果表明:预期理论在中国利率期限结构中是成立的;中国利率期限结构具有两区制的非线性动态特征,可以按预期理论的调整强度将两种区制分别描述为"强调整区制"与"弱调整区制";不同期限利率的平均变动幅度和平均风险溢价水平会随区制状态变化而发生变化,具有区制相依性,区制间的转移具有非对称性;利率期限结构与物价压力的非线性区制划分具有相似性,物价波动是利率期限结构非线性动态变化的重要原因。

This paper conducts an empirical study of the nonlinear dynamic process of China＇s term structure of interest rates under the adjustment of the expectation theory with MS-VECM model. The results indicate that the expectation theory is tenable in China＇s term structure of interest rates. The term structure of interest rates in China has the nonlinear dynamic characteristics of two regimes, which can be described as ＂strong adjustment regime＂ and ＂weak adjustment regime＂ according to the intensity of adjustment of the expectation theory. The average interest rate changes and the aver- age risk premium level at different terms will change along with the changes of the regimes, and the changing of each regime is asymmetric. The term structure of interest rates has some similarity as the non-linear zone partition of price pressure; the price fluctuation is one of the important reasons for the nonlinear dynamic changes of the term structure of interest rates.