利率期限结构与经济增长的非线性关系研究--基于平滑转换模型的实证分析

Research on the Nonlinear Relationship between Term Structure of Interest Rates and Economic Growth——Based on STR Model

本文利用平滑转换模型STR,从静态与动态两个角度研究利率期限结构与未来经济增长之间的非线性关系。其中,利率期限结构的特征由无套利NS模型的三因子来刻画。研究结果表明,我国的利率期限结构与实际GDP之间存在显著的"门槛效应":从静态角度,非对称性主要体现在利率曲线的斜率与GDP之间,超过阀值的斜率对未来经济增速具有非对称的加速作用;从动态角度,水平和斜率因子的变化与预测期限长于12个月的经济增速之间也存在显著的门槛效应,其中水平因子在过去12个月的变化对未来12个月经济增长的非线性影响最为显著。

This paper established smooth transition models （STR）, using the three-factor of Arbitrage-Free Dynamic NS model, to characterize the term structure of interest rates and research the nonlinear relationship between the term structure of interest rates and future output in China from both static and dynamic perspectives. The result shows that there exists a significant ＂ threshold effect＂ between the term structure of interest rate and the future real GDP. From the static point of view, the asymmetry mainly manifests in the relationship between the slope of the yield curve and the GDP growth, for future economic growth will accelerate asymmetrically when the slope exceeds the threshold value. From the dynamic point of view, there are also significant threshold effects between changes in the level or slope factors and the future economic growth within a period of 12 months or longer, in which changes of the level factor over the past 12 months have the most significant nonlinear effect on the economic growth of the following 12 months.