我国宏观经济变量对银行间国债利率期限结构的
影响的实证研究
摘 要
利率，是现代宏观经济学和金融学研究领域最主要的课题之一。利率可以看作是现代金融
领域资产定价的基础，同时也是国家宏观调控的重要手段。国债的利率期限结构是指不同到期
国债的收益率与期限的关系，这里的收益率指的是即期收益率。目前针对利率期限结构变动的
研究主要包括三个方面：利率整体水平的上升或下降表现为利率期限结构曲线的水平移动，长
期利率和短期利率之差的变动表现为曲线斜率的改变。另外，当中期利率和长短期利率呈现相
反的变动方向时，曲线的曲度会发生变化。

目前我国的债券市场包括银行间市场和交易所市场，并且以银行间市场为主导。国债是由
财政部发行的政府债券，其收益率常被视作市场的基准利率。债券市场和宏观经济的变化息息
相关，比如通货膨胀率的上涨往往导致利率水平的上升，央行采取宽松的货币政策往往引起长
期利率和短期利率之差变大。因此本文选择宏观经济变量对我国银行间国债利率期限结构的影
响作为研究对象，寻找二者之间的定量关系。

本文选取的样本为所有在银行间市场交易的零息利率和固定利率国债，样本区间为 2010 年
1 月至 2013 年 12 月，共计 48 个月。首先采用 Nelson-Siegel 模型静态拟合每月的利率期限结构
曲线，并提取代表曲线特征的水平因子、斜率因子和曲度因子。然后采用主成分分析法，提取
代表经济增长、通货膨胀和货币政策三个宏观因素的第一主成分。最后，用 VAR 模型对上述
六个变量之间的关系进行分析，采用脉冲响应函数和方差分解技术研究三个经济因素对利率期
限结构的三个潜在因子的影响。

研究表明，我国银行间国债利率期限结构与宏观经济变量之间确实存在着一定的关系，其
对宏观变量的冲击响应在当月就体现出来，这种响应一般会持续 2 到 4 个月。市场对宏观变量
的冲击往往会过度响应，但是会在接下来的一个月进行适度修正。同时需要指出的是，利率期
限结构与宏观变量间的联系并不是很紧密，尤其是对曲度的解释。

关键词：利率期限结构，宏观经济变量，VAR 模型，Nelson-Siegel 模型，主成分分析法THE RESEARCH ON EFFECTS OF MACROECONOMIC
ON INTERBANK BONDS’ INTEREST RATE TERM
STRUCTURE IN CHINA
ABSTRACT
The research of interest rates, is one of the most important subjects in the
field of modern macroeconomics and finance. Interest rates can be regarded
as the price of financial assets, and it is also an important macro-control
method. Term structure of interest rates is the relationship between the yield
of different bonds and their maturities. Nowadays, the research of the term
structure focuses on these three aspects: how does the overall level of interest
rates rise or fall, how does the difference between long-term and short-term
interest rates changes, and how does the curvature of the term structure
change.
At present, China’s bond market includes two markets: the interbank
market and exchange market, and the interbank market is the dominant.
Government bond is the bond issued by the Ministry of Finance, whose
interest rate is often regarded as the benchmark rate. In the real world, bond
market is closely related to the macro-economy, for example, the increase of
inflation rate will lead to higher interest rate, and the loose monetary policy
will always cause the increase long-term and short-term interest spread.
Therefore, I choose this subject to look for the quantitative relationship
between them.
The sample includes all the zero and fixed rate government bond in the
interbank market, and its interval is from January 2010 to December 2013.
Firstly, I fit the term structure of interest rates each month using Nelson-
Siegel model, and extract three factors, which represent the curve’s level,
steepness and curvature. Secondly, I use the Principal Component Analysis
method to extract three principal factors which represent economic growth,