利率期限结构、宏观经济及资本市场之间的关系研究

Study on the Relationship between Interest Rate Term Structure,Macroeconomic and Capital Market

选取2011年7月至2017年7月国债到期收益率数据,通过主成分分析方法提取出利率期限结构特征,并且通过协整分析研究利率期限结构与宏观经济及资本市场之间的关系,结果发现:水平因子、斜率因子和曲率因子可以解释99.29%的收益率特征;CPI、PPI、IP、SHIBOR、M2、M1-M2均对水平因子有显著影响,而只有CPI、SHIBOR和M1-M2对斜率因子有显著影响;水平因子代表的货币因素是影响股票市场最重要的因子,而宏观经济因素则对期货市场有更重要的影响。

Based on the data of yield maturity of July 2011-July 2017,the term structure of interest rate is extracted byprincipal component analysis（PCA） ,and the relationship between interest rate term structure and macroeconomic and capitalmarket is studied by cointegration analysis. The results show that： the horizontal factor,slope factor and curvature factor canexplain 99.29%of the yield characteristics;CPI,PPI,IP,SHIBOR,M2 and M1-M2 all have significant effects on the levelfactor,and only CPI,SHIBOR and M1-M2 have significant effect on the slope factor;the monetary factor represented bythe horizontal factor is the most important factor affecting the stock market,while the macroeconomic factors have a more important impact on the futures market.