全球国债收益率曲线的联动与分化

Linkages and Divergence in the Global Treasury Yield Curve

在开放经济框架下,通过对各国国债收益率曲线进行分解,估计11个发达国家和12个新兴市场国家的自然利率和期限溢价趋势,研究发现,发达国家和新兴市场国家的整体自然利率和期限溢价成分皆呈现下降趋势,各国的自然利率和期限溢价表现出较强的国际联动性特征。对于新兴市场国家,随着资本开放水平的提高,各国期限溢价的联动性特征更加明显。不同的汇率制度选择,并未显著影响自然利率和期限溢价的联动性特征。采用贝叶斯VAR方法,通过预测方差分解的结果进一步考察影响自然利率和期限溢价的全球因素和个体因素,结果发现,美国利率水平和美国便利收益率等全球变量对各国自然利率和期限溢价具有较强的解释能力。基于此,各国货币政策当局须重视全球因素对于收益率曲线长端的溢出效应,采取资本管制等措施缓解全球因素的溢出效应。

The natural rates of interest and term premiums of 11 developed countries and 12 emerging market countries were estimated by decomposing the yield curves of government bonds under an open economy framework.The study found that the natural rates of interest and term premiums of developed and emerging market countries show a downward trend.Moreover, the natural rate of interest and term premiums of various countries demonstrated characteristics of strong international linkages.The linkage characteristics in the term premiums of emerging market countries have become more evident given improvements in their levels of capital openness.Notably, different exchange rate system choices have not significantly affected the linkage characteristics of natural rates of interest and term premiums.Furthermore, the Bayesian VAR method was used to investigate the global and individual factors that affect natural rates of interest and term premiums by predicting variance decomposition results.The results showed that global variables, e.g.,the level of US interest rate levels and convenience yields, strongly explain natural rates of interest and term premiums in various countries.Based on these findings, monetary policy authorities in various countries need to pay attention to the spillover effects of global factors on long-term bonds and take measures, e.g.,capital controls, to alleviate the spillover effects of global factors.