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股市周期转换与国债利率期限结构——基于MS—VAR的分析
引用本文:夏庆,潘敏,王婷.股市周期转换与国债利率期限结构——基于MS—VAR的分析[J].华南理工大学学报(社会科学版),2011,13(6):35-41.
作者姓名:夏庆  潘敏  王婷
作者单位:1. 武汉大学经济与管理学院,湖北武汉,430072
2. 江汉大学商学院,湖北武汉,430056
基金项目:教育部2007年度“新世纪优秀人才支持计划”项目,2010年度武汉大学人文社会科学自主科研重点研究项目、武汉大学国家“985”创新基地项目子课题
摘    要:本文以2003—2008期间的国债数据为样本,采用Nelson-Siegel模型对反映国债利率期限结构的三个模型参数:水平因子、斜率因子和曲率因子进行了估计。在此基础上,假设三个参数序列构成的时间序列向量的演变过程受某潜在变量的支配,且该潜在变量服从二区制马尔科夫链转换过程。本文构建了反映潜在变量影响利率期限结构变化的MS—VAR模型,并用此模型实证检验了该潜在变量转换对国债利率期限结构的影响。结果表明:该潜在变量是股市周期,我国股市周期的转换对国债利率期限结构的变化存在着显著的影响。

关 键 词:国债利率期限结构  MS-VAR  Nelson-Siegel模型

Stock Market Cycle and the Term Structure of Interest Rate of Treasury Bond in China: An Empirical Analysis Based on MS -VAR Model
XIA Qing,PAN Min,WANG Ting.Stock Market Cycle and the Term Structure of Interest Rate of Treasury Bond in China: An Empirical Analysis Based on MS -VAR Model[J].Journal of South China University of Technology(Social Science Edition),2011,13(6):35-41.
Authors:XIA Qing  PAN Min  WANG Ting
Institution:1.Economics and Management School,Wuhan University,Wuhan 430072,Hubei,China; 2.School of Business,Jianghan University,Wuhan 430056,Hubei,China)
Abstract:This paper makes the estimation for three parameters (level factor, slope factor, curvature factor) series in Nelson - Siegel model, using the data coming from Treasury bond market in China during 5 years from 2003 to 2008. Supposing the evolvement of the vector of time series of three parameters is governed by some latent variable, which ruled by 2 - regime Markov chain, we complete the specification for Markov - Switching VAR model, which reflects the influence of the term structure of interest rate of Treasury bond resulting from the switching of the latent variable. The empirical result shows that the latent variable is the stock market cycle and the evolvement of the term structure of interest rate of Treasury bond is governed by the switchin~ on the stock market cycle
Keywords:term structure of interest rate of treasury bond  Markov - Switching VAR model  Nelson - Siegel model
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