中国同业拆借市场利率期限结构与宏观经济变量关系的实证研究

An Empirical Study on the Relationship between the Term Structure of Interbank Offered Rate and Key Macroeconomic Variables in China

利率作为经济和金融领域的一个核心变量,影响着各种固定收益证券及其他衍生产品的定价,一直以来都是金融学研究的重点。其中最重要的是对利率期限结构的研究。我们选取了在我国被视为基准利率备选项之一的银行间同业拆借市场利率作为研究对象,运用主成分分析法证明"水平"、"斜度"、"曲度"三个因子分别能够解释我国同业拆借市场利率期限结构特征的95.41%、2.07%、1.15%。同时,通过选取能够较为全面描述我国宏观经济的三类变量,运用VAR模型,发现水平因子主要受到通胀因素的影响,斜度因子主要受到实体经济变量的影响,而曲度因子则主要受到实体经济和货币政策因素的影响。

As a core variable in the economic and financial field, interest rate affects the price of fixed income securities and other derivatives, and has always been the focus of financial research, the most basic and essential of which is research on the term structure of interest. In this paper, the China Inter Bank Offered Rate, one of the bench mark rates in China, is employed as the subject and the Principal Components Analysis is applied to prove that characteristics of term structure of interest rate in China＇s interbank market be explained by three factors including ＂Level＂, ＂Slope＂, and ＂Curvature＂. The result shows that three factors respectively explain 95.41% , 2.07% , and 1. 15% of characteristics of term structure of interest rate. Furthermore, three kinds of variables that comprehensively describe China＇s macro-economy are used to build the VAR model, which finds that the Level factor is mainly affected by inflation, the Slope factor is mainly affected by real economy, and the Curvature factor is mainly affected by real economy and monetary policies.