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| 文章编号：1672-3104(2016)05-0101-08 |
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利率期限结构的突变效应：多结构变点协整分析 |
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韩国文，邓颖婷 |
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（武汉大学经济与管理学院，湖北武汉，430072） |
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| 摘 要： 基于预期理论，运用多结构变点协整回归模型检验利率期限结构。通过考察2002年1月至2014年12月间的长期利率与短期利率，发现在多结构变点存在的前提下，动态OLS协整检验发现长、短期利率之间存在长期协整关系。计算得出的协整向量与理论值有一定差距，说明预期理论仅局部成立。多结构变点检验显示，在样本期间，利率期限结构总共发生了四次结构变点，解释变量的系数符号也发生了反复改变。经过分析发现，宏观经济走势、利率市场化改革、汇率波动以及2008年的全球金融危机是结构变点存在的重要原因。 |
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| 关键词： 利率期限结构；多结构变点；预期理论；动态最小二乘法 |
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Mutation effect of term structure of interest rate: Analysis of cointegration based on multiple structural breaks |
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HAN Guowen, DENG Yingting |
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（School of Economics and Management, Wuhan University, Wuhan 430072, China） |
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| Abstract: Based on expectation hypothesis, the present essay adopts a linear cointegration regression model of multiple structural breaks to study the term structure of interest rates in China. By investigating the cointegration relationship between long-term interest rates and short-term interest rates from January 2002 to December 2014, and by testing dynamic OLS cointegration, we find that on the condition of mutiple structural breaks, there exists a long cointegration relationship between the long and short run Chinese interest rates, and that there is a gap between calculated conintegration vector and theorectical value, which indicates that the results only support a weak version of the expectation hypothesis. Test on multiple structural breaks shows that in sample period, the term structure of interest rates has four break points, and that the sign of coefficients appears reversal repeatedly. Analysis finds that the existence of structural breaks is mainly due to macroeconomic trends, the reform of interest rate and exchange rate, and the 2008 global financial crisis. |
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Key words: term structure of interest rates; multiple structural breaks; expectation hypothesis; Dynamic Ordinary Least Squares |
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