中国国债利率期限结构突变与动因分析——基于无套利宏观金融模型的视角

已有研究表明中国宏观经济和金融市场近20年来表现出区制转换和非线性特征,在此背景下国债市场是否也存在结构性变化,将关系到利率模型的稳定性和经济政策的效果。文章基于未知间断点的结构突变方法实证检验2002年到2015年间中国国债利率期限结构,并通过把新凯恩斯动态一般均衡框架嵌入仿射无套利期限结构模型中,解释突变的宏观动因。结果认为,受2005年金融市场一系列重大改革的累积和联动影响,中国国债利率期限结构于2005年11月发生了显著的结构变化;间断后由于市场风险水平降低,货币政策波动性减小,所以利率偏离预期假说的程度锐减;与货币政策相关的斜率因子风险价格的减小是突变的关键动因。

Structural Break Test and Motivation Analysis for Term Structure of Interest Rate of China's Treasury Bonds: Based on the No-arbitrage Macro-financial Model

Previous studies have shown that China's macroeconomic and financial markets have regime switchings and nonlinear characteristics over the past 20 years.In this context, if the bond market has a shift in the dynamics of the term structure,it will affect the stability of the interest rate model and the effect of economic policy. We examine the stability of the term structure of china's treasury bonds from 2002 to 2015 based on the structural break test of unknown discontinuity points,and analyze the main cause of the break by embedding the new Keynes dynamic general equilibrium framework into an affine no-arbitrage term structure model. We find that:Due to the accumulative and related effects of major reforms in the financial market in 2005, the term structure of interest rates changed significantly in November 2005;the deviation from the expected hypothesis decreased sharply because of the fallen of the market risk and the fluctuation of monetary policy; The decline of risk price of the slope factor associated with monetary policy is the key reason for the break.