期限溢价的跨境传递和中美长期利率的联动——基于“非跨越宏观因子”期限结构模型的研究

Cross-Border Transfer of Term Premium and Linkage of Long-Term Interest Rate between China and US: Evidence from Dynamic Term Structure Models with Unspanned Macro Risks

以2006年3月至2016年9月季末值的国债即期收益率为样本,利用"非跨越宏观因子"无套利仿射动态利率期限结构模型,将国债长期利率分解为短期利率预期均值和期限溢价两部分,实证研究发现中美国债长期利率的联动主要来自期限溢价,而非短期利率预期均值,从而解释了中美国债利率"短端相互独立,长端相互联动"的现象。期限溢价的跨境传递在一定程度上可用"全球金融周期"的机制加以解释,意味着两国金融市场的联系不仅仅是资金价格和数量的传递,还关系到风险的传递。基于研究结论,建议中国降低政策不确定性,做好外部风险和利率预期机制;实施宏观审慎政策,减轻"市场风险"的跨境传递;加强货币和金融的国际合作,积极推进人民币国际化。

By adopting the treasury bond spot rate expected yield from March 2006 to Sep- tember 2016 as sample data and constructing dynamic term structure models with unspanned macro risks, this paper decomposes long-term interest rate into two parts, that is, the average of current and expected short interest rates and term premium. The empirical finding shows that linkage of long-term interest rate between China and US is mainly from the term premium rather than the average of short - term interest rate, which helps to explain the phenomenon about ＂short -term independence,long - term linkage＂. The cross - border transfer of term premium rate is consistent with mechanism of ＂global financial cycle＂, meaning that the link between financial markets is not only the transfer of capital price and volume, but also the transfer of risks. There- fore, it is suggested to reduce policy uncertainty, prepare for external risks and interest rate chan- ges ;implement macro -prudential policies, mitigate cross - border transmssion of market risk ; en- hance financial international cooperation, actively promote the internationalization of RMB.