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| 利率期限结构与宏观经济变量的相互关系研究 | |
| 引用本文： | 胡永宏,李丽,常红旭. 利率期限结构与宏观经济变量的相互关系研究[J]. 数理统计与管理, 2012, 31(5): 871-879 |
| 作者姓名： | 胡永宏 李丽 常红旭 |
| 作者单位： | 1. 中央财经大学统计学院,北京,100081 2. 中国医药对外贸易公司,北京,100088 3. 中国科学院计算机网络信息中心超级计算中心,北京,100190 |
| 基金项目： | 国家高技术研究发展计划(863计划)课题(2006AA01A116)资助;中央财经大学学科建设基金项目支持 |
| 摘 要： | 本文研究了利率期限结构与宏观经济变量之间的相互关系。运用利率期限结构与宏观经济变量的无套利模型,对向量自回归模型进行了扩展,将其引入到状态空间模型框架中,基于卡尔曼滤波并结合EM算法对模型参数进行了有效估计,结合实际数据对利率期限结构与宏观经济变量的相互影响关系进行了实证研究。结果表明:利率期限结构与宏观经济变量的双向影响关系显著;宏观经济变量对利率期限结构具有一定的解释力;研究利率期限结构时,宏观经济变量的影响作用不能忽略。 |
| 关 键 词： | 利率期限结构 宏观经济变量 状态空间模型 |
Research on the Relationship Between Interest Rate Term Structure and Macroeconomic Variables |
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| HU Yong-hong,LI Li,CHANG Hong-xu. Research on the Relationship Between Interest Rate Term Structure and Macroeconomic Variables[J]. Application of Statistics and Management, 2012, 31(5): 871-879 | |
| Authors: | HU Yong-hong LI Li CHANG Hong-xu |
| Affiliation: | 1.School of Statistics,Central University of Finance and Economics,Beijing 100081,China;2.China National Pharmaceutical Foreign Trade Corporation,Beijing 100088,China;3.Supercomputing Center,Computer Network Information Center,Chinese Academy of Sciences,Beijing 100190,China) |
| Abstract: | This paper investigates the relationship between interest rate term structure and macroeconomic variables.Based on the no-arbitrage model of interest rate term structure and macroeconomic variables,the VAR model is expanded and then introduced into the framework of state-space model. This novel model is estimated using EM algorithm and Kalman filter,and then the relationship between interest rate term structure and macroeconomic variables is empirically analyzed.The main findings are that:the bidirectional influences between Interest Rate Term Structure and Macroeconomic Variables are significant;Macroeconomic Variables can interpret interest rate term structure to some extent;the influence should not be ignored during analyzing Interest Rate Term Structure. |
| Keywords: | interest rate term structure macroeconomic variables state-space model |
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