中国利率期限结构与货币政策联合建模的实证研究

本文采用卡尔曼滤波和极大似然函数估计方法对中国无套利利率期限结构与货币政策联合建模进行估计，实证结果显示通货膨胀目标值对利率期限结构的冲击是扩张性和持续性的，对于所有到期期限都是持续上升的；货币政策冲击对利率期限结构冲击的效应则是递减的，对利率期限结构曲线的斜率影响较显著；通货膨胀冲击对利率期限结构曲线的曲度影响较显著。模型样本外预测大大优于VAR模型。研究结果表明，本文构建模型一方面有助于对利率期限结构的预测，另一方面有助于央行制定前瞻有效的货币政策。

Empirical Analysis of the Model with Term Structure of Interest Rate and Monetary Policy in China

In this paper,we use Kalman filter estimation and maximum likelihood estimation to modeling no-arbitrage term structure of interest rates and monetary policy model in China,and the empirical analysis finds that the shock of the inflation target on term structure of interest rate is expansionary and sustainable,and it is rising for all maturities;The effect of monetary policy shocks is decreasing,but the monetary policy shock on the slope of term structure of interest rates is significant.The impact of inflation on the interest rate term structure curve is of more significance.The prediction out of model made in this paper is found to be much better than that made by VAR model.The model proposed in this paper can help to predict the term structure of interest rate,and can help the central bank to develop forward-looking and effective monetary policy.