国债供求与动态利率期限结构——基于DRA模型的实证分析

Demand-supply Factor of Government Bond and Dynamic Interest Rate Term Structure-an Analysis Based on DRA Model

本文构建包含国债供求变量的DRA模型,采用极大似然估计法研究我国国债供求变量、利率期限结构与宏观变量之间的动态关系。在此基础上,通过脉冲响应函数分析宏观变量和国债供求因素对利率期限结构的冲击效应,并采用方差分解方法量化宏观变量和国债供求冲击对收益率曲线预测误差的贡献率。结果显示国债供给因素对我国利率期限结构的变化具有显著影响。这一结论有助于提高利率期限结构预测模型的准确性,加深对政府债务管理、利率期限结构与货币政策之间冲突与协调问题的认识与分析。

By introducing the supply and demand of treasury bond into the DRA model and estimating it with the maximum Likelihood methods, this paper studies the relationship between the supply and demand of treasury bonds, interest rate term structure and macro-economic variables. The impulse-response function and variance decomposition are used to analyze the shock effects of macro-economic, bond supply and demands on the interest rate term structure, as well as their contributions to the proportions of yield forecasting. The empirical results show that the supply of treasury bonds has significant effect on the interest rate term structure. This conclusion is helpful to improve the accuracy of forecasting model of interest rate term structure, deepen the understanding and analysis of the conflict and coordination between government debt management, interest rate term structure and monetary policy,