• 主题
高级搜索  >
历史搜索 清空历史
首页> 外文期刊>International Journal of Applied Mathematics & Statistics >MS-VAR Eastimation Model for Term Structure of Interest Rate of Treasury Bonds and Cycle of Monetary Policy
【24h】

MS-VAR Eastimation Model for Term Structure of Interest Rate of Treasury Bonds and Cycle of Monetary Policy

机译：国债利率期限结构和货币政策周期的MS-VAR估计模型

获取原文
获取原文并翻译 | 示例
           
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

This paper has taken bank's average interest rate for overnight loans as proxy variable of monetary policy, estimated the times series of level factor and negative of slope factor in Nelson-Siegel Model according to the data of Treasury Bond Market in Shanghai from October 2003 to March 2011. Considering the cycle of monetary policy, MS-VAR model has been utilized to study the impact on term structure of interest rate of treasury bonds due to the change of monetary policy. The empirical results have shown that, with respect to the tightening changes of monetary policy, during the period of easy monetary policy, level factor is more sensitive than negative of slope factor; during the period of tightened monetary policy, negative of slope factor is more sensitive than level factor.
机译：本文以银行隔夜贷款平均利率作为货币政策的代理变量，根据2003年10月至2003年3月上海国债市场数据，估算了Nelson-Siegel模型中水平因子和斜率因子的负数时间序列。 2011年。考虑到货币政策的周期，利用MS-VAR模型研究了货币政策变化对国债利率期限结构的影响。实证结果表明，就紧缩货币政策变化而言，在宽松货币政策时期，水平系数比斜率系数的负值更为敏感。在紧缩货币政策期间，斜率因子的负值比水平因子的敏感度更高。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号