宏观经济—金融利率期限结构模型研究:理论回顾与展望

Study on the Term Structure Model of Macroeconomic Financial Interest Rate:A Review and Prospect

以利率为桥梁,金融和宏观经济的融合研究已成为趋势,表现在宏观经济一金融利率期限结构模型的不断拓展和深化。相关研究可分三个方面:首先,在标准的金融仿射无套利期限结构模型中加入宏观经济的因素,表明标准的金融期限结构的潜在构成因素也包括宏观经济基础。其次,将宏观经济动态随机一般均衡模型(DSGE)与债券定价结合起来,发掘其金融学意义。通过引入DSGE模型,可以对资产价格进行更好的解释。再次,发展一种实证上易处理的无套利期限结构模型,有利于期限结构模型向宏观金融领域的扩展,而能识别潜在收益率曲线因子的AFNS模型就具有这种性质,并表现出很好的实证预测效果,有助于阐明很多问题。展望未来,宏观经济一金融模型在关于债券供给和债券风险溢价之间的联系这一领域将取得更大的进展。

Taking interest rate as a bridge,the integration of finance and macroeconomics has become a trend, which is manifested in the continuous expansion and deepening of the macroeconomic financial interest rate term structure model. Related research can be divided into three parts: first, we add macroeconomic factors to the standard financial affine non arbitrage term structure model, which indicates that the potential components of standard financial term structure also include macroeconomic foundation.Secondly,we combine the macroeconomic dynamic stochastic general equilibrium model(DSGE) with the bond pricing to explore its financial significance. By introducing the DSGE model, asset prices can be better explained.Again, developing no arbitrage model of the term structure in easy processing is advantageous to the expansion to the macro finance term structure model,and AFNS model which can identify the potential yield curve factor has this property, and showed a good empirical prediction effect, helping to clarify many problems. Looking to the future, the macroeconomic-financial model will make greater progress in the link between bond supply and bond risk premium.