摘要
本文基于面板数据模型,对各主要宏观经济变量及利率期限结构对国债风险溢价的影响进行了实证研究。研究结果表明:国债利率期限结构曲线越陡峭,国债的风险溢价水平越高;通货膨胀因素对国债风险溢价水平的影响较大;规模以上工业增加值、上证综合指数月度收益率与国债风险溢价水平存在显著负相关关系;广义货币供应量与国债风险溢价水平存在显著正相关关系;官方利率与国债风险溢价水平的关系较弱。
Using panel data from November 2008 to September 2010, this paper studies the role of macroeconomic variables and term structure of interest rates in determining risk premium of bonds on the T-bond market of the Shanghai Stock Exchange. The main findings are： i , the steeper the curve of term structure of interest rates, the higher the risk premium of current T-bonds; ii ,the influence of inflation on risk premium of bonds is very strong; iii , above-scale industrial added value and The Shanghai Composite Index monthly returns show significant negative relationship with risk premium of bonds; V , there is a significant positive relationship between the risk premium of bonds and broad money supply; iv ,there is weak relationship between the risk premium of bonds and official interest rates.
出处
《南方金融》
北大核心
2011年第2期9-12,共4页
South China Finance
关键词
国债风险溢价
利率期限结构
通货膨胀
面板数据模型
Risk Premium of Bonds
Term Structure of Interest Rates
Inflation
Panel Data Model
