国债供求因素对利率期限结构的影响——基于中国数据的研究

The Impact of Supply and Demand Factors on the Interest Rate Term Structure:An Empirical Study Based on Data of China

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.