利率期限结构与宏观经济--基于动态潜在因子模型的研究

Term Structure and Macro-Economy:Basing on a Dynamic Factor Model

基于2002年1月至2013年5月的我国国债收益率和宏观经济月度数据,建立并估计了包含宏观经济变量的利率期限结构动态潜在因子模型,得到了收益率曲线的水平、倾斜和曲度因子,并对收益率曲线因子与宏观经济之间的动态关联以及不同期限的国债收益率受到冲击后的反应进行了分析。结果表明:利率期限结构与宏观经济之间具有双向的动态影响关系;同时,不同期限的收益率对于收益率曲线因子和宏观经济变量的冲击反应呈现较大的差异性。

In this paper,using data from 2003. 01—2013. 05,we construct and estimate a dynamic factor model of macroeconomic and yield curve dynamics. Latent factors including level factor,slope factor and curvature factor and their relationships w ith the macro-economy are analyzed. Further,the response of yields w ith different maturities to term structure shocks and macroeconomic shocks are analyzed. It is found that there is a bidirectional dynamic relationship be-tw een the term structure and macro-economy,the responses of yields to shocks are different among various maturities.