利率期限结构理论与实证研究

Theoretical and Empirical Analysis of Interest Maturity Structure

本文利用协整方法对我国利率期限结构的形成机制进行实证研究。结果表明我国利率期限结构基本上符合流动性偏好理论,且随着市场发展,利率的预期效应逐步加强,长短券间的风险溢价也更直接地决定于期间期限差的大小。

This paper uses a co-integration empirical study to analyze the forming mechanism of China's interest maturity structure. China's interest maturity structure generally complies with liquidity preference theory. Furthermore, with the development of the market, the interest efficiency of expectation is strengthened and the maturity gap in premium between long and short-term bonds is determined with increasing directness.