基于VAR模型的利率期限结构内含的宏观经济信息研究

Research on the macro economic information of interest rate term structure based on VAR model

为研究利率期限结构内含的宏观经济信息,本文选择各国广泛使用并适合我国国债特征的NS模型,引入状态空间模型对其进行改进,并将其估计值与传统经验值相对比,确保模型的合理性与准确性。并在此基础上采用VAR模型,通过脉冲响应函数来分析利率期限结构的水平因子、斜率因子、曲度因子与宏观经济因素之间的响应关系,进而得出利率期限结构内含的宏观经济信息。

Study on the interest rate term structure contains macroeconomic information, the countries are widely used and is suitable for the characteristics of our country bond NS model, the state space model is introduced to improve the and the estimated value is compared with the traditional experience, to ensure the rationality and accuracy of the model.And based on the VAR model, the impulse response function to analyze the response relationship between the term structure of interest rate level factor, the slope factor and curvature factors and macroeconomic factors, and then draw the interest rate term structure contains macroeconomic information.