摘要
近年来,在欧美国家实施非常规货币政策与政府高赤字债务危机的双重背景下,国债供求因素对利率期限结构的影响问题引起理论界的广泛关注。本文利用中国银行间国债市场数据对含有国债供求因素的优先偏好利率期限结构模型进行实证检验,结果显示,我国国债利率期限结构对国债供给的变化并不敏感;而反映国债需求的变量不仅与各关键期限国债利率明显负相关,而且对利率期限结构的水平因子、斜率因子和曲度因子也有一定程度的负向影响。
Under the background of unconventional monetary policies and high budget deficits in European and Noah A- merican countries, effects on term structure of interest rate by supply and demand of treasury bond has gained wide attention in the academic community. Using data of China's inter-bank bond markets, the author makes an empirical test on a preferred- habitat model of term structure with supply and demand factors. The results show that the term structure of interest rate is not sensitive to bond supply factors, while the bond demand variable has negative effects significantly on the key interest rates, and less significantly on level factor, slope factor and curvature factor of the term structure of interest rate.
出处
《财经论丛》
CSSCI
北大核心
2014年第2期44-49,共6页
Collected Essays on Finance and Economics
关键词
国债
利率期限结构
优先偏好模型
treasury bonds
term structure of interest rate
preferred-habitat model