利率期限结构变动特征研究——基于经济周期视角研究

The research on the risk features of term structure——Based on the economic cycle perspective

主要分析了自2008年以来经济周期不同阶段国债利率期限结构的风险变动特征.利用主成分分析发现在经济周期不同阶段,水平因素、斜率因素、曲率因素这三个影响因子对于期限结构的累计解释力有较大差别;同时三因素对利率期限结构的解释力度不尽相同,经济周期中表现出来比较明显的特征;另外水平因素对于1年期以下较短期的利率和15年期以上较长期利率的变动影响比其他期限利率要不同,因此投资者在对债券进行风险管理时要特别注意不同阶段利率期限结构表现出来的特殊规律,以减少投资损失.

This paper mainly analyzes the risk features of Term Structure of Interest Rate in the different stages of the economic cycle since 2008. By using principal component analysis, it is found that at different stages of the economic cycle, the three factors of level factors, slope factors and curvature factors have big difth＇ence in cumulative explanatory power on the term structure, and that these three factors is different in explanatory power in explaining the term structure and obvious feature is manifested in the economic cycle.