中国宏观经济对Shibor期限结构的影响——基于VAR模型的研究

The Effect of Macroeconomy on the Term Structure of Shibor——A Study Based on VAR

本文在2007年1月至2016年12月期间月度数据的基础上,通过主成分分析提取了Shibor期限结构的潜在因子,然后利用向量自回归模型分析了Shibor期限结构水平因子和倾斜度的主要影响因素。研究发现:首先,前两个主成分可以解释Shibor所有期限信息的97.32%;其次,Shibor期限结构的水平因子受经济增长的影响最为显著;再次,当市场存在持续的通货膨胀预期时,Shibor期限结构的倾斜程度会增大;最后,Shibor期限结构的倾斜度能够反应货币政策的状态,受价格型货币政策工具冲击的响应更为显著;因此,我国的货币政策应该加强价格型工具的运用,充分利用前瞻性指引管理市场预期,提高货币政策的传导效率。

We make use of the principal component analysis to extract the potential factors of term structure of Shibor with the data from January 2007 to December 2016.Then we use structural vector autoregression model to analyze the factors influencing level factor and inclination of Shibor. We find that： firstly, the first two principal components can explain 97.32% of all Shibor term structure information; Secondly, the level factor of Shibor is affected by economic growth most significantly; and when the market inflation expectations are continuing, the inclination of Shibor will increase; Finally, the inclination of the term structure of Shibor can reflect the status of monetary policy, and is affected by price tools of monetary policy more significantly. Therefore, our country should strengthen the use of price tools of monetary policy, make full use of forward guidance to manage market expectation and improve the transmission efficiency of monetary policy.