中国利率风险溢酬:时变特征与影响因素

Interest Rate Risk Premium of China:Time Varying and Affecting facotrs

利率风险溢酬是长期利率的组成部分,解读它所包含的信息、寻找它的来源有着重要的经济意义。本文先使用利率仿射模型,计算出先验的中国国债利率期限溢酬,然后构建VECM模型,运用脉冲响应、方差分析等技术,分析国债利率的风险溢酬和主要宏观经济变量的动态关系,发现宏观变量对溢酬的影响在当期和滞后几期有明显差异,CPI和GDP是影响最大的两个因素,但信贷供应量和M1的作用也较大。我们同时也发现银行间市场投资者比交易所市场投资者更易受到宏观经济的影响。

Interest rate risk premium plays an important role in long-term rates movement. It is very meaningful to study term premium and the information it conveys. This paper uses an affine model to get ex-ante risk premium in two of China＇s Treasury bond markets, and then examines the possible macro-economic sources of term premiums. A VECM model is used to describe the joint dynamics of term premiums and macro-economic variables, which show that inflation and economic development are the most important macro-economic elements to affect term premiums. Money supply and credit growth are also the sources of term premiums. Finally, this paper finds out that inter-bank market investors concern the economic situation more than exchange market investors do.