利率期限结构与宏观经济变量的相互关系研究

Research on the Relationship Between Interest Rate Term Structure and Macroeconomic Variables

本文研究了利率期限结构与宏观经济变量之间的相互关系。运用利率期限结构与宏观经济变量的无套利模型,对向量自回归模型进行了扩展,将其引入到状态空间模型框架中,基于卡尔曼滤波并结合EM算法对模型参数进行了有效估计,结合实际数据对利率期限结构与宏观经济变量的相互影响关系进行了实证研究。结果表明:利率期限结构与宏观经济变量的双向影响关系显著;宏观经济变量对利率期限结构具有一定的解释力;研究利率期限结构时,宏观经济变量的影响作用不能忽略。

This paper investigates the relationship between interest rate term structure and macroeconomic variables. Based on the no-arbitrage model of interest rate term structure and macroeconomic variables, the VAR model is expanded and then introduced into the framework of state-space model. This novel model is estimated using EM algorithm and Kalman filter, and then the relationship between interest rate term structure and macroeconomic variables is empirically analyzed. The main findings are that： the bidirectional influences between Interest Rate Term Structure and Macroeconomic Variables are significant; Macroeeonomic Variables can interpret interest rate term structure to some extent; the influence should not be ignored during analyzing Interest Rate Term Structure.