中国基准收益率曲线的培育及其应用价值研究
|
摘要
要推进利率市场化改革进程和金融创新，在指导金融衍生品定价、指示和传导央行货币政策、商业银行内部转移定价、确立人民币境内的定价权方面，培育一个真正能够反映资金供求信息的基准利率必不可少，而通过影响基准利率和基准收益率曲线来间接进行经济调控，是货币政策的必然选择。
基准收益率曲线反映了无风险长、短期利率之间的关系，所以基准收益率曲线就成为了货币政策态势的重要体现。中央银行通过基准收益率曲线及其变动来分析货币政策的传导，通过货币政策的调整来改变预期，最后反过来又引导和影响利率的期限结构。而如何培育适用于中国金融市场的完整基准收益率曲线，探讨收益率曲线对中国经济的宏观调控，尤其是货币政策制定有何应用价值，正式本文关注的核心问题。本文所做的主要工作如下：
第一、为了探讨我国利率市场化的效果，在向量自回归模型的框架下探索我国利率市场化水平与相关宏观经济变量的相关性，并建立结构向量自回归模型（SVAR）并进行脉冲响应分析，从而了解相关变量的动态关系；利用多元自回归移动平均模型全面测定利率市场化的宏观经济效应的大小，包括分析利率市场化对金融机构贷款和投资以及对农村储蓄和消费的影响，分析利率市场化的增长效应，探讨利率变动与农民收入等宏观经济变量的关系等。研究发现：改革开放30年来我国利率市场化改革是有效的，利率市场化水平的提高直接影响了贷款、投资和储蓄的增长，由此带动了生产、消费乃至居民收入的增长，因此改革需要坚定不移的推行下去。下一步的改革关键是存款利率的逐步放开以及市场化的基准利率的逐步培育以及真正发挥作用，由此使得利率能够反映实际资金供给与需求，从而改善有限的金融资源的配置，改革依然任重道远。
第二、收集了金融市场上具有不同利率期限机构的各类利率体系的数据，进行了同一期限利率品种数据的均值-方差分析、相关性分析，而后检验了数据的平稳性，在协整检验的基础上，构建了多元VAR模型，在多元VAR模型框架下建立了VECM模型，并在此基础上进行Granger因果关系检验和脉冲响应分析。研究发现：在基准收益率曲线的短端，Shibor在货币市场上的基准地位还有待加强；央行票据利率目前发挥着极为重要的作用；央行存贷款基准利率仍然包含金融市场大量信息；在收益率曲线的长端，交易所国债回购利率发挥着重要影响，但其基准地位却也需加强，构建完整的中国收益率曲线仍然面临大量挑战。
第三、选取恰当的经济增长和期限利差数据，首先计算各期限利差与经济增长指标间的时差相关系数，而后采用普通最小二乘法对基准模型做回归，同时标准误差项通过Newey-West方法进行计算，并比较相关期限利差的预测能力指标，从而探索期限利差对中国经济增长的预测能力；而后采用Svensson模型，对银行间国债回购利率进行拟合，从而得到收益率曲线的各因子，采用时差相关系数和对预测方程回归的方法，探索收益率曲线的长短期因子对中国通货膨胀的预测能力；在此基础上，结合国际经验，探索收益率曲线对中国宏观经济进行实时预测的可行性。
第四、从2011年全年我国货币政策的实践出发，实证研究央行存贷款基准利率和存款准备金率的调整对收益率曲线的冲击效应，并建立向量自回归模型来探讨收益率曲线与货币政策变量直接的关联性，从而探讨收益率曲线成为我国货币政策工具的可行性。在此基础上，初步提出一些可供货币当局选择的、基于基准收益率曲线的货币政策操作方法。
第五、总结基准收益率曲线应当具备的六大要素，并对目前金融市场上存在的收益率曲线进行逐一分析，探讨金融市场上不同类型的收益率曲线是否具备这些特征，在此基础上提出培育中国基准收益率曲线的思路。从基准收益率曲线的基本特征来看，银行间市场的国债、政策性金融债、企业债券、商业银行债券等均占有重要地位，其利率体系是目前培育基准收益率曲线的可选标的。构建完整中国基准收益率曲线的可行思路包括：重点培育国债收益率曲线、分段设计和整体重构。
The nurturing of China’s benchmark interest rates and benchmark yield curvebecomes necessary in order to foster the process of interest rates liberalization andfinancial innovation. It is a necessary choice of monetary policy to adjust theeconomy by influencing the benchmark interest rate and benchmark yield curveindirectly.
The benchmark yield curve reflects the relation between long and short un-riskyinterest rates, so it is the reflection of monetary policy. The central bank analyzes theconduction of monetary policy from the benchmark yield curve and its movements,changes the expectations, then directs and influences the term structure of interestrates. This paper focus on:(1) how to nurture the benchmark yield curve of China;and (2) investigate the implication value of yield curve on the economy control，especially the development and implementation of monetary policy. The main worksare as follows:
First，based on the rural China’s data of1978to2008, we assesse theperformance of the interest rates liberalization by setting an institutional variable.First we test the stability and cointegration of the data, and then test the Grangercauses of interest rates liberalization and other major macroeconomic variables underthe framework of VAR model. Second a Structural VAR model was set and based onwhich an impulse response analysis was done. Lastly a MARMA model was built tomeasure the exact impact of interest rates liberalization on macro-economy. Somepolicy implications then provided. The result shows that the policy of China’s interestrates liberalization is effective, which directly influences the growth of loan,investment and saving, promote the growth of production, consumption and residuals’income. So the reform should be continued. The key step of next reform is loose thecontrol of the deposit interest rates and the nurturing of benchmark interest rate,which would make the interest rates reflect the money’s demand and supply.
Second，based on the stationary and cointegration tests of monthly data from2007M01to2010M03, under a framework of the multivariate Vector Autoregression Model, we test the Granger causes under the VECM model and make the impulseresponse analysis. It is found that at the short term part of benchmark yield curve, thebenchmark position of Shibor should be strengthened, interest rates of central bank’snotes function well, central bank’s benchmark rates of deposit and loan contains largeinformation of financial markets, the repo rates of government bonds in exchangemarkets are very important but the benchmark position in the long term should alsobe strengthened. The structuring of complete China’s yield curve faces a lot ofchallenges.
Third, in order to investigate the term spread’s predict power of China’seconomic growth, we choose the appropriate data of economic growth and termspread, calculate the time correlation coefficients, run OLS regression of benchmarkmodel and calculate standard error by Newey-West method, and compare the predictpower index. Then calculate the factors of yield curve by Svensson model, to explorethe short and long factors’ predict power of China’s inflation rates. Based on that, wetry to find the possibility of real time prediction of China’s macro-economy by yieldcurve.
Fourth, in order to explore the possibility of yield curve to be China’s monetarypolicy tool, start from the practice of China’s monetary policy of the latest year2011,we study the central bank benchmark interest rates of loan and deposit and Reserveratio, build a Vector Auto-Regression model to explore the relation of yield curve andmonetary policy variables. Preliminary we provide some monetary policy operationmethod based on the benchmark yield curve.
Fifth, we summarize six elements of benchmark yield curve, and analyze theexisted yield curves in China’s financial market to discuss whether they have thosefeathers. We find that inter-bank government bonds, financial bonds of policy,business banks bonds, etc. place an important role, their interest rates system is theoptional choice of benchmark yield curve. The ideas of structuring China’sbenchmark yield curve may include:(1) focus on fostering government bond yieldcurve,(2) Segment design, and (3) overall re-structuring.
基准收益率曲线反映了无风险长、短期利率之间的关系，所以基准收益率曲线就成为了货币政策态势的重要体现。中央银行通过基准收益率曲线及其变动来分析货币政策的传导，通过货币政策的调整来改变预期，最后反过来又引导和影响利率的期限结构。而如何培育适用于中国金融市场的完整基准收益率曲线，探讨收益率曲线对中国经济的宏观调控，尤其是货币政策制定有何应用价值，正式本文关注的核心问题。本文所做的主要工作如下：
第一、为了探讨我国利率市场化的效果，在向量自回归模型的框架下探索我国利率市场化水平与相关宏观经济变量的相关性，并建立结构向量自回归模型（SVAR）并进行脉冲响应分析，从而了解相关变量的动态关系；利用多元自回归移动平均模型全面测定利率市场化的宏观经济效应的大小，包括分析利率市场化对金融机构贷款和投资以及对农村储蓄和消费的影响，分析利率市场化的增长效应，探讨利率变动与农民收入等宏观经济变量的关系等。研究发现：改革开放30年来我国利率市场化改革是有效的，利率市场化水平的提高直接影响了贷款、投资和储蓄的增长，由此带动了生产、消费乃至居民收入的增长，因此改革需要坚定不移的推行下去。下一步的改革关键是存款利率的逐步放开以及市场化的基准利率的逐步培育以及真正发挥作用，由此使得利率能够反映实际资金供给与需求，从而改善有限的金融资源的配置，改革依然任重道远。
第二、收集了金融市场上具有不同利率期限机构的各类利率体系的数据，进行了同一期限利率品种数据的均值-方差分析、相关性分析，而后检验了数据的平稳性，在协整检验的基础上，构建了多元VAR模型，在多元VAR模型框架下建立了VECM模型，并在此基础上进行Granger因果关系检验和脉冲响应分析。研究发现：在基准收益率曲线的短端，Shibor在货币市场上的基准地位还有待加强；央行票据利率目前发挥着极为重要的作用；央行存贷款基准利率仍然包含金融市场大量信息；在收益率曲线的长端，交易所国债回购利率发挥着重要影响，但其基准地位却也需加强，构建完整的中国收益率曲线仍然面临大量挑战。
第三、选取恰当的经济增长和期限利差数据，首先计算各期限利差与经济增长指标间的时差相关系数，而后采用普通最小二乘法对基准模型做回归，同时标准误差项通过Newey-West方法进行计算，并比较相关期限利差的预测能力指标，从而探索期限利差对中国经济增长的预测能力；而后采用Svensson模型，对银行间国债回购利率进行拟合，从而得到收益率曲线的各因子，采用时差相关系数和对预测方程回归的方法，探索收益率曲线的长短期因子对中国通货膨胀的预测能力；在此基础上，结合国际经验，探索收益率曲线对中国宏观经济进行实时预测的可行性。
第四、从2011年全年我国货币政策的实践出发，实证研究央行存贷款基准利率和存款准备金率的调整对收益率曲线的冲击效应，并建立向量自回归模型来探讨收益率曲线与货币政策变量直接的关联性，从而探讨收益率曲线成为我国货币政策工具的可行性。在此基础上，初步提出一些可供货币当局选择的、基于基准收益率曲线的货币政策操作方法。
第五、总结基准收益率曲线应当具备的六大要素，并对目前金融市场上存在的收益率曲线进行逐一分析，探讨金融市场上不同类型的收益率曲线是否具备这些特征，在此基础上提出培育中国基准收益率曲线的思路。从基准收益率曲线的基本特征来看，银行间市场的国债、政策性金融债、企业债券、商业银行债券等均占有重要地位，其利率体系是目前培育基准收益率曲线的可选标的。构建完整中国基准收益率曲线的可行思路包括：重点培育国债收益率曲线、分段设计和整体重构。
The nurturing of China’s benchmark interest rates and benchmark yield curvebecomes necessary in order to foster the process of interest rates liberalization andfinancial innovation. It is a necessary choice of monetary policy to adjust theeconomy by influencing the benchmark interest rate and benchmark yield curveindirectly.
The benchmark yield curve reflects the relation between long and short un-riskyinterest rates, so it is the reflection of monetary policy. The central bank analyzes theconduction of monetary policy from the benchmark yield curve and its movements,changes the expectations, then directs and influences the term structure of interestrates. This paper focus on:(1) how to nurture the benchmark yield curve of China;and (2) investigate the implication value of yield curve on the economy control，especially the development and implementation of monetary policy. The main worksare as follows:
First，based on the rural China’s data of1978to2008, we assesse theperformance of the interest rates liberalization by setting an institutional variable.First we test the stability and cointegration of the data, and then test the Grangercauses of interest rates liberalization and other major macroeconomic variables underthe framework of VAR model. Second a Structural VAR model was set and based onwhich an impulse response analysis was done. Lastly a MARMA model was built tomeasure the exact impact of interest rates liberalization on macro-economy. Somepolicy implications then provided. The result shows that the policy of China’s interestrates liberalization is effective, which directly influences the growth of loan,investment and saving, promote the growth of production, consumption and residuals’income. So the reform should be continued. The key step of next reform is loose thecontrol of the deposit interest rates and the nurturing of benchmark interest rate,which would make the interest rates reflect the money’s demand and supply.
Second，based on the stationary and cointegration tests of monthly data from2007M01to2010M03, under a framework of the multivariate Vector Autoregression Model, we test the Granger causes under the VECM model and make the impulseresponse analysis. It is found that at the short term part of benchmark yield curve, thebenchmark position of Shibor should be strengthened, interest rates of central bank’snotes function well, central bank’s benchmark rates of deposit and loan contains largeinformation of financial markets, the repo rates of government bonds in exchangemarkets are very important but the benchmark position in the long term should alsobe strengthened. The structuring of complete China’s yield curve faces a lot ofchallenges.
Third, in order to investigate the term spread’s predict power of China’seconomic growth, we choose the appropriate data of economic growth and termspread, calculate the time correlation coefficients, run OLS regression of benchmarkmodel and calculate standard error by Newey-West method, and compare the predictpower index. Then calculate the factors of yield curve by Svensson model, to explorethe short and long factors’ predict power of China’s inflation rates. Based on that, wetry to find the possibility of real time prediction of China’s macro-economy by yieldcurve.
Fourth, in order to explore the possibility of yield curve to be China’s monetarypolicy tool, start from the practice of China’s monetary policy of the latest year2011,we study the central bank benchmark interest rates of loan and deposit and Reserveratio, build a Vector Auto-Regression model to explore the relation of yield curve andmonetary policy variables. Preliminary we provide some monetary policy operationmethod based on the benchmark yield curve.
Fifth, we summarize six elements of benchmark yield curve, and analyze theexisted yield curves in China’s financial market to discuss whether they have thosefeathers. We find that inter-bank government bonds, financial bonds of policy,business banks bonds, etc. place an important role, their interest rates system is theoptional choice of benchmark yield curve. The ideas of structuring China’sbenchmark yield curve may include:(1) focus on fostering government bond yieldcurve,(2) Segment design, and (3) overall re-structuring.
引文
[1] Abiad A., Oomes. N, Ueda K., The quality effect: Does financial liberalization improve theallocation of capital? Journal of Development Economics87(2008):270–282.
[2] Ahrens, Ralf., Predicting Recessions with Interest Rate Spreads: A MulticountryRegime-Switching Analysis. Journal of International Money and Finance, August2002,21(4), pp.519-37.
[3] Ang J. B., McKibbin W. J., Financial liberalization, financial sector development and growth:Evidence from Malaysia, Journal of Development Economics84(2007)215–233.
[4] Ang, A., Bekaert, G. and Wei M., The Term Structure of Real Rates and Expected Inflation.Journal of Finance,2008, vo.l63, pp.797-849.
[5] Ang, A. and Piazzesi, M. A No-arbitrage Vector Autoregression of Term Structure Dynamicswith Macroeconomic and Latent Variables. Journal of Monetary Economics,2003, pp.745-787.
[6] Ang, A.; Piazzesi, M. and Wei, M., What Does the Yield Curve Tell Us About GDP Growth?Journal of Econometrics, March/April2006,131(1/2), pp.359-403.
[7] Aretz, Kevin and Peel, David A. Spreads versus Professional Forecasters as Predictors ofFuture Output Change. Working paper, Lancaster University,2008.
[8] Bayoumi, T., Financial Deregulation and Consumption in the United Kingdom, The Review ofEconomics and Statistics, Vol.75, No.3, Aug.,1993a, pp.536-539.
[9] Bayoumi, T., Financial Deregulation and Household Saving, The Economic Journal, Vol.103,No.421Nov.,1993b, pp.1432-1443.
[10] Bekaert, G., Harveyb C. R., Lundblad C., Does financial liberalization spur growth? Journalof Financial Economics77(2005)3–55.
[11] Berk, Jan M. and van Bergeijk, Peter A.G. On the Information Content of the Yield Curve:Lessons for the Eurosystem? Kredit und Kapital,2001,1, pp.28-47.
[12] Berk, Jan M. The Information Content of the Yield Curve for Monetary Policy: A Survey. DeEconomist, July1998,146(2), pp.303-20.
[13] Bernard, Henri, and Stefan Gerlach. Does the Term Structure Predict Recessions? TheInternational Evidence. International. Journal of Finance and Economics3(1998),195-215.
[14] BIS （Monetary and Economic Department）， Zero-coupon yield curves: technicaldocumentation,2005, BIS Papers, No25.
[15] Blanchard O., D. Quah, The dynamic effects of aggregate demand and supply disturbances,American Economic Review79,1989,655-673.
[16] Bordo, Michael D. and Haubrich, Joseph G. The Yield Curve as a Predictor of Growth:Long-run Evidence,1875-1997. Review of Economics and Statistics, February2008,90(1), pp.182-85.
[17] Bordo, Michael D. and Haubrich, Joseph G. The Yield Curve, Recessions, and the Credibilityof the Monetary Regime: Long-Run Evidence,1875-1997. NBER Working Paper No.10431.
[18] Brooks C., and F. Skinner, What will be the Risk-free Rate and Benchmark Yield Curvefollowing European Monetary Union?. Applied Financial Economics,10,2000:59-69.
[19] Campbell, J.Y. and R.J. Shiller, Cointegration and Tests of Present Value Models, Journal ofPolitical Economy,95,1987, pp.1062–1088.
[20] Campbell, J.Y. and R.J. Shiller, Yield Spreads and Interest Rate Movements: A Bird’s EyeView, Review of Economic Studies,58,1991, pp.495–514.
[21] Cozier, Barry and Tkacz, Greg. The Term Structure and Real Activity in Canada. Bank ofCanada Working Paper No.94-3, Bank of Canada, March1994.
[22] Davis, E. Phillip and Fagan, Gabriel. Are Financial Spreads Useful Indicators of FutureInflation and Output Growth in EU Countries? Journal of Applied Econometrics,November/December1997,12(6), pp.701-14.
[23] Diebold, F., Rudebusch, G. and Aruoba, S. The Macroeconomy and the Yield Curve: ADynamic Latent Factor Approach. Journal of Econometrics,2006, vol131, pp.309-338.
[24] Dotsey, Michael. The Predictive Content of the Interest Rate Yield Spread for FutureEconomic Growth. Federal Reserve Bank of Richmond Economic Quarterly, Summer1998,84(3), pp.31-51.
[25] Duarte, Augustin; Venetis, Ioannis A. and Paya, Ivan. Predicting Real Growth and theProbability of Recession in the Euro Area Using the Yield Spread. International Journal ofForecasting, April/June2005,21(2), pp.262-77.
[26] Dueker, Michael J. Strengthening the Case for the Yield Curve as a Predictor of U.S.Recessions. Federal Reserve Bank of St. Louis Review, March/April1997.
[27] Dunne, P. G., M. J. Moore, and R. Portes, Defining Benchmark Status: An Application usingEuro-Area Bonds, NBER Working Paper,2002, No. W9087.
[28] Estrella, Arturo and Hardouvelis, Gikas A.“The Term Structure as a Predictor of RealEconomic Activity.” Journal of Finance, June1991,46(2), pp.555-76.
[29] Estrella, Arturo and Mishkin, Frederic S. Predicting U.S. Recessions: Financial Variables asLeading Indicators. Review of Economics and Statistics, February1998,80(1), pp.45-61.
[30] Estrella, Arturo and Mishkin, Frederic S. The Predictive Power of the Term Structure ofInterest Rates in Europe and the United States: Implications for the European Central Bank.European Economic Review, July1997,41(7), pp.1375-401.
[31] Estrella, Arturo. Why Does the Yield Curve Predict Output and Inflation? The EconomicJournal, July2005,115(505), pp.722-44.
[32] Estrella, Arturo; Rodrigues, Anthony P. and Schich, Sebastian. How Stable Is the PredictivePower of the Yield Curve? Evidence from Germany and the United States. Review ofEconomics and Statistics, August2003,85(3), pp.629-44.
[33] Evans, M., Real Risk, Inflation Risk, and the Term Structu re. The Economic Journal,2003,vo.l113, pp.345-389.
[34] Fama, E.F., Term-Structure Forecasts of Interest Rates, Inflation and Real Returns, Journal ofMonetary Economics,25,1990, pp.59–76.
[35] Feroli, Michael. Monetary Policy and the Information Content of the Yield Spread. Topics inMacroeconomics, September2004,4(1), Article13.
[36] Fry M. J., Saving, Investment, Growth and the Cost of Financial Repression, WorldDevelopment, Vol.8, No.4,1980, pp.317-327.
[37] Galbraith, John W. and Tkacz, Greg. Testing for Asymmetry in the Link Between the YieldSpread and Output in the G-7Countries. Journal of International Money and Finance,October2000,19(5), pp.657-72.
[38] Galindo A., Schiantarelli F., Weiss A., Does financial liberalization improve the allocation ofinvestment? Micro-evidence from developing countries, Journal of Development Economics83(2007):562–587.
[39] Galvao, Ana Beatriz C. Structural Break Threshold VARs for Predicting U.S. RecessionsUsing the Spread. Journal of Applied Econometrics, May/June2006,21(4), pp.463-87.
[40] Gangadhar Darbha, Estimating the Benchmark Yield Curve: A New Approach UsingStochastic Frontier Functions，Rodney L. White Center for Financial Research, The WhartonSchool, University of Pennsylvania,2004，pp1-38
[41] Gerlach, S. and F. Smets, The Term Structure of Euro-Rates: Some Evidence in Support of theExpectations Hypothesis, BIS Working paper,28,1995
[42] Gerlach, S., The Information Content of the Term Structure: Evidence for Germany, BISWorking Paper,1995,29
[43] Giacomini, Raffaella and Rossi, Barbara. How Stable Is the Forecasting Performance of theYield Curve for Output Growth? Oxford Bulletin of Economics and Statistics, December2006,68, pp.783-95.
[44] Gyntelberg, J., and P. D. Wooldridge, Interbank Rate Fixings during the Recent Turmoil, BISQuarterly Review, March,2008:59-72.
[45] Hardouvelis, G.A., The Predictive Power of the Term Structure during Recent MonetaryRegimes, Journal of Finance,43,1988, pp.339–356.
[46] Harvey, Campbell R. Forecasts of Economic Growth From the Bond and Stock Markets.Financial Analysts Journal, September/October1989,45(5), pp.38-45.
[47] Harvey, Campbell R. The Real Term Structure and Consumption Growth. Journal ofFinancial Economics, December1988,22(2), pp.305-33.
[48] Hellmann, T., Murdock, K. and Stiglitz, J.,“Financial Restraint: Toward ANew Paradigm”, inM. Aoki, Hyung Ki Kim,&M. Okuno Fujiwara Eds., The Role of Government in East AsianEconomic Development: Comparative Institutional Analysis, New York: Oxford UniversityPress,1996
[49] Hellmann, T., Murdock, K. and Stiglitz, J.. Addressing Moral Hazard in Banking: DepositRate Controls versus Capital Requirements, mimeo, Stanford University,1994
[50] Hellmann, T., Murdock, K. and Stiglitz, J.. Liberalization, moral hazard in banking, andprudential regulation: are capital requirements enough? American Economic Review90,2000,147–165.
[51] Hu, Zuliu. The Yield Curve and RealActivity. IMF Staff Papers40(1993),781-806.
[52] Jorion, P. and F.S. Mishkin, A Multicountry Comparison of Term Structure Forecasts atLongmHorizons, Journal of Financial Economics,29,1991, pp.59–80.
[53] Kim, Kenneth A. and Limpaphayom, Piman. The Effect of Economic Regimes on theRelation Between Term Structure and Real Activity in Japan. Journal of Economics andBusiness, July/August1997,49(4), pp.379-92.
[54] King, Thomas B., Levin, Andrew T. and Perli, Roberto. Financial Market Perceptions ofRecession Risk. Finance and Economics Discussion Series No.2007-57.
[55] Laeven, L., Does Financial Liberalization Reduce Financing Constraints? FinancialManagement, Vol.32, No.1(Spring,2003), pp.5-34.
[56] Laurent, Robert D. An Interest Rate-Based Indicator of Monetary Policy. Federal ReserveBank of Chicago Economic Perspectives,1988,12(1), pp.3-14.
[57] Lin, William and Sun, David，Liquidity-adjusted benchmark yield curves: a look at tradingconcentration and information，2007，MPRA Paper No.3728.
[58] McCauley, R. N., Benchmark Ttipping in the Money and Bond Markets, BIS QuarterlyReview, December,2001:39-45.
[59] McKinnon, R.. Money and Capital in Economic Development, Washington DC: TheBrookings Institution,1973
[60] Melo J. and Tybout J., The Effects of Financial Liberalization on Savings and Investment inUruguay, Economic Development and Cultural Change, Vol.34, No.3, Apr.,1986, pp.561-587.
[61] Mishkin, F.S., The Information in the Longer Maturity Term Structure about Future Inflation,Quarterly Journal of Economics105,1990a, pp.815–828.
[62] Mishkin, F.S., What Does the Term Structure Tell Us About Future Inflation? Journal ofMonetary Economics,25,1990b, pp.77–95.
[63] Moneta, F. Does the Yield Spread Predict Recession in the Euro Area? International Finance,Summer2005,8(2), pp.263-301.
[64] Plosser, Charles I. and Rouwenhorst, K. Geert. International Term Structures and RealEconomic Growth. Journal of Monetary Economics, February1994,33(1), pp.133-55.
[65] Porter Na., and T. Xu, What Drives China’s Interbank Market?. IMF working paper,2009,WP/09/189.
[66] Robertson, D., Term Structure Forecasts of Inflation, Economic Journal,1992,102, pp.1083–1093.
[67] Rosenberg, Joshua V. and Maurer, Samuel. Signal or Noise? Implications of the TermPremium for Recession Forecasting. Federal Reserve Bank of New York Economic PolicyReview, July2008,14(1), pp.1-11.
[68] Schich, S.T., Alternative Specifications of the German Term Structure and its InformationContent regarding Inflation, Deutsche Bundesbank, Discussion Paper,1996,8/96
[69] Shaaf, Mohamad. Predicting Recessions Using the Yield Curve: An Artificial Intelligence andEconometric Comparison. Eastern Economic Journal, Spring2000,26(2), pp.171-90.
[70] Shaw, E.. Financial Deepening in Economic Development, New York: Oxford UniversityPress,1973
[71] Sims C.A., Macroeconomics and reality, Econometrica,48,1993,1-47;
[72] Stiglitz, J., The Role of the State in Financial Markets, mimeo,1993, Stanford University
[73] Stock, James H. and Watson, Mark W. Forecasting Output and Inflation: The Role of AssetPrices. Journal of Economic Literature, September2003,41(3), pp.788-829.
[74] Tkacz, Greg. Neural Network Forecasting of Canadian GDP Growth. International Journal ofForecasting, January/March2001,17(1), pp.57-69.
[75] Tzavalis, E. and M.R. Wickens, Forecasting Inflation from the Term Structure, Journal ofEmpirical Finance,3,1996, pp.103–122.
[76] Venetis, Ioannis A., Paya, Ivan and Peel, David A., Re-Examination of the Predictability ofEconomic Activity Using the Yield Spread: A Nonlinear Approach. International Review ofEconomics and Finance,2003,12(2), pp.187-207.
[77] Wheelock David C. and Mark E. Wohar, Can the Term Spread Predict Output Growth andRecessions? A Survey of the Literature, Federal Reserve Bank of ST. Louis Review,2009,pp.419-440
[78] Wooldridge, P. D., The Emergence of New Benchmark Yield Curve, BIS Quarterly Review,December,2001:48-57.
[79] Wright, Jonathan, H. The Yield Curve and Predicting Recessions. Finance and EconomicsDiscussion Series No.2006-07.
[80][美]法博齐．债券市场：分析和策略．北京：北京大学出版社，2007
[81][美]菲亚博．债券及债券基金精要．北京：经济管理出版社，2004
[82][美]古扎拉蒂．计量经济学．北京：中国人民大学出版社，2000
[83][美]瓦什．货币理论与政策．北京：中国人民大学出版社，2001
[84]卞志村．泰勒规则的实证问题及在中国的检验．金融研究，2006（8）：56～69
[85]宾国强．实际利率、金融深化与中国的经济增长．经济科学，1999（3）：32～38
[86]曹海珍．中国债券市场发展的理论与实践．北京：中国金融出版社，2006
[87]陈飞，赵昕东，高铁梅．我国货币政策工具变量效应的实证分析．金融研究，2002（10）：25～30
[88]陈晖，谢赤．利率期限结构的最优估计及应用．长沙：湖南教育出版社，2008
[89]陈鹏，徐炜．我国利率期限结构对宏观经济有预测能力吗．金融发展研究，2009（9）：12～16
[90]戴国强，梁福涛．中国金融市场基准利率选择的经验分析．世界经济，2006（4）：3～11
[91]董乐．银行间回购利率的基准效应研究．中国管理科学，2008（3）：16～22
[92]杜金岷，郭红兵．我国基准收益率曲线的构建及其内含通货膨胀信息研究．经济前沿，2009（2-3）：73～84
[93]方先明，花旻．SHIBOR能成为中国货币市场基准利率吗．经济学家，2009（1）：85～92
[94]方先明，熊鹏．我国利率政策调控的时滞效应研究——基于交叉数据的实证检验．财经研究，2005（8）：5～16
[95]高铁梅．计量经济方法与建模．北京：清华大学出版社，2009
[96]管圣义．完善收益率曲线仍须“治本”．金融时报，2006-6-28，第8版
[97]郭红兵，钱毅．我国金融市场基准利率考察．金融理论与实践，2008（3）：37～40
[98]郭红兵．我国基准收益率曲线的构建及其货币政策关联性研究：[博士学位论文]．广州：暨南大学，2008
[99]郭涛，宋德勇．中国利率期限结构的货币政策含义．经济研究，2008（3）：39～47
[100]何志刚，倪官良．国债收益率曲线预测未来通胀变化的信息价值研究．证券市场导报，2010（4）：17～21
[101]胡新华，徐志宏．国债收益率曲线构建的国际比较研究．金融论坛，2009（3）：23～29
[102]胡永刚，杨智峰．财政农业支出对农村产出和消费影响的SVAR分析．数量经济技术经济研究，2009（7）：19～32
[103]惠恩才．国债收益率曲线与宏观经济相关性的实证研究．经济社会体制比较，2007（6）：52～56
[104]纪世宏．货币政策与国债收益率曲线．中国社会科学院研究生院学报，2003（3）：42～43
[105]蒋贤锋，王贺，史永东．我国金融市场中基准利率的选择．金融研究，2008（10）：22～36
[106]康书隆，王志强．中国国债利率期限结构的风险特征及其内含信息研究．世界经济，2010（7）：121～143
[107]李宏瑾，钟正生，李晓嘉．利率期限结构、通货膨胀预测与实际利率．世界经济，2010（10）：120～138
[108]刘英，赵震宇．不同货币政策工具作用下国债收益率曲线对通货膨胀预测能力分析．上海经济研究，2011（10）：40～45
[109]李倩．利率市场化需要完善收益率曲线．金融时报，2006-4-12，第8版
[110]李晓芳，高铁梅，梁云芳．税收和政府支出政策对产出动态冲击效应的计量分析．财贸经济，2005（2）：32～39
[111]李扬，王国刚，何德旭．中国金融理论前沿Ⅲ．北京：社会科学文献出版社，2003
[112]李扬，王国刚．中国金融改革开放30年研究．北京：经济管理出版社，2008
[113]李扬．稳定物价：90年代西方货币政策的唯一目标．国际经济评论，1999（Z3）：42～46
[114]梁琪，滕建州．中国宏观经济和金融总量结构变化及因果关系研究．经济研究，2006（1）：11～22
[115]刘英，赵震宇．不同货币政策工具作用下国债收益率曲线对通货膨胀预测能力分析．上海经济研究，2011（10）：41～45
[116]陆军，钟丹．泰勒规则在中国的协整检验．经济研究，2003（8）：76～93
[117]吕士伟．农村利率市场化改革可行性个案研究．金融研究，2003（1）：104～108
[118]马明，向桢．中国利率期限结构分析．经济学季刊，2002（4）：700～714
[119]曲强，张良，杨仁眉．外汇储蓄增长、货币冲销的有效性及对物价波动的动态影响．金融研究，2009（5）：47～60
[120]沈炳熙，曹媛媛．中国债券市场：30年改革与发展．北京：北京大学出版社，2010
[121]沈根祥．货币政策对利率期限结构的影响——基于动态Nelson-Siegel模型的实证分析．当代财经，2011（3）：59～66
[122]沈坤荣，汪建．实际利率水平与中国经济增长．金融研究，2000（8）：25～34
[123]盛松成，吴培新．中国货币政策的二元传导机制——“两中介目标，两调控对象”模式研究．经济研究，2008（10）：37～50
[124]石柱鲜，孙皓，邓创．中国主要宏观经济变量与利率限结构的关系：基于VAR-ATSM模型的分析．世界经济，2008（3）：53～59
[125]宋福铁，陈浪南．国债收益率曲线坡度的货币政策含义．上海金融，2004（5）：13～16
[126]孙皓，石柱鲜．中国利率期限结构对经济周期波动的预测能力——检验基于动态Probit模型的研究途径．经济与管理研究，2011（4）：64～71
[127]唐齐鸣，高翔．我国同业拆借市场利率期限结构的实证研究．统计研究，2002（5）：46～48
[128]唐旭．金融理论前沿课题（第二辑）．北京：中国金融出版社，2003
[129]万正晓．基于附息债券的人民币基准收益曲线．财经研究，2003（2）：36～40
[130]王广谦．中央银行学．北京：高等教育出版社，2006
[131]王晋斌，于春海．中国利率市场化改革的可能路径．金融研究，2007（12）：79～87
[132]王立勇，张良贵．开放条件下我国货币政策有效性的经验分析——基于目标实现与工具选择角度的评价．数量经济技术经济研究，2011（8）：77～90
[133]王媛，管锡展，王勇．利率的期限结构与经济增长预期．系统工程学报，2004（2）：25～32
[134]温彬．我国利率市场化后基准利率选择的实证研究．国际金融研究，2004（11）：54～60
[135]吴丹，谢赤．支持货币政策的利率期限结构模型．长沙：湖南教育出版社，2008
[136]吴曙明．关于国债利率成为基准利率的思考．中央财经大学学报，1997（8）：46～47
[137]夏斌，廖强．货币供应量已不宜作为当前中国货币政策中介目标．经济研究，2001（8）：14～16
[138]谢赤，董华香．论货币政策对利率期限结构的影响．湖南社会科学，2005（2）：81～83
[139]谢平，罗雄．泰勒规则及其在中国货币政策中的检验．经济研究，2002（3）：3～12
[140]谢平，袁沁敔．我国近年利率政策的效果分析．金融研究，2003（5）：1～13
[141]许东江．中国居民、银行、企业对利率市场化的理性反应．世界经济，2002（5）：69～75
[142]杨晔．我国企业债券市场利率环境的实证研究．金融研究，2008（2）：168～179
[143]易纲．进一步确立Shibor的基准性地位．中国货币市场，2008（1）：7～12
[144]易纲．中国改革开放三十年的利率市场化进程．金融研究，2009（1）：1～14
[145]于鑫．宏观经济对利率期限结构的动态影响研究．南方经济，2009（6）：25～33
[146]于鑫．利率期限结构对宏观经济变化的预测性研究．证券市场导报，2008（10）：43～47
[147]詹向阳等．银行间市场基准利率体系选择及Shibor运行分析．金融论坛，2008（4）：3～8
[148]张晓峒．应用数量经济学．北京：机械工业出版社，2009
[149]张亦春，郑振龙．金融市场学．北京：高等教育出版社，2003
[150]郑葵方．中国市场的基准利率评价．中国经济学年会论文，2008
[151]郑冉冉，张孝岩．农村金融机构进入问题研究．经济社会体制比较，2006（1）：125～128
[152]中国人民银行货币政策分析小组．稳步推进利率市场化报告．中国货币政策执行报告增刊，2005
[153]中国人民银行营业管理部课题组．利率规则在我国货币政策调控中的应用研究．北京：经济科学出版社，2010
[154]周小川．推进利率市场化改革建立基准收益率曲线．中国人民银行网站，2006-1-20
[155]周小川．关于推进利率市场化改革的若干思考．中国人民银行网站，2012-01-12
[156]朱世武．利率限结构对通货膨胀能力的实证分析．中国货币市场，2005（10）：37～39
[2] Ahrens, Ralf., Predicting Recessions with Interest Rate Spreads: A MulticountryRegime-Switching Analysis. Journal of International Money and Finance, August2002,21(4), pp.519-37.
[3] Ang J. B., McKibbin W. J., Financial liberalization, financial sector development and growth:Evidence from Malaysia, Journal of Development Economics84(2007)215–233.
[4] Ang, A., Bekaert, G. and Wei M., The Term Structure of Real Rates and Expected Inflation.Journal of Finance,2008, vo.l63, pp.797-849.
[5] Ang, A. and Piazzesi, M. A No-arbitrage Vector Autoregression of Term Structure Dynamicswith Macroeconomic and Latent Variables. Journal of Monetary Economics,2003, pp.745-787.
[6] Ang, A.; Piazzesi, M. and Wei, M., What Does the Yield Curve Tell Us About GDP Growth?Journal of Econometrics, March/April2006,131(1/2), pp.359-403.
[7] Aretz, Kevin and Peel, David A. Spreads versus Professional Forecasters as Predictors ofFuture Output Change. Working paper, Lancaster University,2008.
[8] Bayoumi, T., Financial Deregulation and Consumption in the United Kingdom, The Review ofEconomics and Statistics, Vol.75, No.3, Aug.,1993a, pp.536-539.
[9] Bayoumi, T., Financial Deregulation and Household Saving, The Economic Journal, Vol.103,No.421Nov.,1993b, pp.1432-1443.
[10] Bekaert, G., Harveyb C. R., Lundblad C., Does financial liberalization spur growth? Journalof Financial Economics77(2005)3–55.
[11] Berk, Jan M. and van Bergeijk, Peter A.G. On the Information Content of the Yield Curve:Lessons for the Eurosystem? Kredit und Kapital,2001,1, pp.28-47.
[12] Berk, Jan M. The Information Content of the Yield Curve for Monetary Policy: A Survey. DeEconomist, July1998,146(2), pp.303-20.
[13] Bernard, Henri, and Stefan Gerlach. Does the Term Structure Predict Recessions? TheInternational Evidence. International. Journal of Finance and Economics3(1998),195-215.
[14] BIS （Monetary and Economic Department）， Zero-coupon yield curves: technicaldocumentation,2005, BIS Papers, No25.
[15] Blanchard O., D. Quah, The dynamic effects of aggregate demand and supply disturbances,American Economic Review79,1989,655-673.
[16] Bordo, Michael D. and Haubrich, Joseph G. The Yield Curve as a Predictor of Growth:Long-run Evidence,1875-1997. Review of Economics and Statistics, February2008,90(1), pp.182-85.
[17] Bordo, Michael D. and Haubrich, Joseph G. The Yield Curve, Recessions, and the Credibilityof the Monetary Regime: Long-Run Evidence,1875-1997. NBER Working Paper No.10431.
[18] Brooks C., and F. Skinner, What will be the Risk-free Rate and Benchmark Yield Curvefollowing European Monetary Union?. Applied Financial Economics,10,2000:59-69.
[19] Campbell, J.Y. and R.J. Shiller, Cointegration and Tests of Present Value Models, Journal ofPolitical Economy,95,1987, pp.1062–1088.
[20] Campbell, J.Y. and R.J. Shiller, Yield Spreads and Interest Rate Movements: A Bird’s EyeView, Review of Economic Studies,58,1991, pp.495–514.
[21] Cozier, Barry and Tkacz, Greg. The Term Structure and Real Activity in Canada. Bank ofCanada Working Paper No.94-3, Bank of Canada, March1994.
[22] Davis, E. Phillip and Fagan, Gabriel. Are Financial Spreads Useful Indicators of FutureInflation and Output Growth in EU Countries? Journal of Applied Econometrics,November/December1997,12(6), pp.701-14.
[23] Diebold, F., Rudebusch, G. and Aruoba, S. The Macroeconomy and the Yield Curve: ADynamic Latent Factor Approach. Journal of Econometrics,2006, vol131, pp.309-338.
[24] Dotsey, Michael. The Predictive Content of the Interest Rate Yield Spread for FutureEconomic Growth. Federal Reserve Bank of Richmond Economic Quarterly, Summer1998,84(3), pp.31-51.
[25] Duarte, Augustin; Venetis, Ioannis A. and Paya, Ivan. Predicting Real Growth and theProbability of Recession in the Euro Area Using the Yield Spread. International Journal ofForecasting, April/June2005,21(2), pp.262-77.
[26] Dueker, Michael J. Strengthening the Case for the Yield Curve as a Predictor of U.S.Recessions. Federal Reserve Bank of St. Louis Review, March/April1997.
[27] Dunne, P. G., M. J. Moore, and R. Portes, Defining Benchmark Status: An Application usingEuro-Area Bonds, NBER Working Paper,2002, No. W9087.
[28] Estrella, Arturo and Hardouvelis, Gikas A.“The Term Structure as a Predictor of RealEconomic Activity.” Journal of Finance, June1991,46(2), pp.555-76.
[29] Estrella, Arturo and Mishkin, Frederic S. Predicting U.S. Recessions: Financial Variables asLeading Indicators. Review of Economics and Statistics, February1998,80(1), pp.45-61.
[30] Estrella, Arturo and Mishkin, Frederic S. The Predictive Power of the Term Structure ofInterest Rates in Europe and the United States: Implications for the European Central Bank.European Economic Review, July1997,41(7), pp.1375-401.
[31] Estrella, Arturo. Why Does the Yield Curve Predict Output and Inflation? The EconomicJournal, July2005,115(505), pp.722-44.
[32] Estrella, Arturo; Rodrigues, Anthony P. and Schich, Sebastian. How Stable Is the PredictivePower of the Yield Curve? Evidence from Germany and the United States. Review ofEconomics and Statistics, August2003,85(3), pp.629-44.
[33] Evans, M., Real Risk, Inflation Risk, and the Term Structu re. The Economic Journal,2003,vo.l113, pp.345-389.
[34] Fama, E.F., Term-Structure Forecasts of Interest Rates, Inflation and Real Returns, Journal ofMonetary Economics,25,1990, pp.59–76.
[35] Feroli, Michael. Monetary Policy and the Information Content of the Yield Spread. Topics inMacroeconomics, September2004,4(1), Article13.
[36] Fry M. J., Saving, Investment, Growth and the Cost of Financial Repression, WorldDevelopment, Vol.8, No.4,1980, pp.317-327.
[37] Galbraith, John W. and Tkacz, Greg. Testing for Asymmetry in the Link Between the YieldSpread and Output in the G-7Countries. Journal of International Money and Finance,October2000,19(5), pp.657-72.
[38] Galindo A., Schiantarelli F., Weiss A., Does financial liberalization improve the allocation ofinvestment? Micro-evidence from developing countries, Journal of Development Economics83(2007):562–587.
[39] Galvao, Ana Beatriz C. Structural Break Threshold VARs for Predicting U.S. RecessionsUsing the Spread. Journal of Applied Econometrics, May/June2006,21(4), pp.463-87.
[40] Gangadhar Darbha, Estimating the Benchmark Yield Curve: A New Approach UsingStochastic Frontier Functions，Rodney L. White Center for Financial Research, The WhartonSchool, University of Pennsylvania,2004，pp1-38
[41] Gerlach, S. and F. Smets, The Term Structure of Euro-Rates: Some Evidence in Support of theExpectations Hypothesis, BIS Working paper,28,1995
[42] Gerlach, S., The Information Content of the Term Structure: Evidence for Germany, BISWorking Paper,1995,29
[43] Giacomini, Raffaella and Rossi, Barbara. How Stable Is the Forecasting Performance of theYield Curve for Output Growth? Oxford Bulletin of Economics and Statistics, December2006,68, pp.783-95.
[44] Gyntelberg, J., and P. D. Wooldridge, Interbank Rate Fixings during the Recent Turmoil, BISQuarterly Review, March,2008:59-72.
[45] Hardouvelis, G.A., The Predictive Power of the Term Structure during Recent MonetaryRegimes, Journal of Finance,43,1988, pp.339–356.
[46] Harvey, Campbell R. Forecasts of Economic Growth From the Bond and Stock Markets.Financial Analysts Journal, September/October1989,45(5), pp.38-45.
[47] Harvey, Campbell R. The Real Term Structure and Consumption Growth. Journal ofFinancial Economics, December1988,22(2), pp.305-33.
[48] Hellmann, T., Murdock, K. and Stiglitz, J.,“Financial Restraint: Toward ANew Paradigm”, inM. Aoki, Hyung Ki Kim,&M. Okuno Fujiwara Eds., The Role of Government in East AsianEconomic Development: Comparative Institutional Analysis, New York: Oxford UniversityPress,1996
[49] Hellmann, T., Murdock, K. and Stiglitz, J.. Addressing Moral Hazard in Banking: DepositRate Controls versus Capital Requirements, mimeo, Stanford University,1994
[50] Hellmann, T., Murdock, K. and Stiglitz, J.. Liberalization, moral hazard in banking, andprudential regulation: are capital requirements enough? American Economic Review90,2000,147–165.
[51] Hu, Zuliu. The Yield Curve and RealActivity. IMF Staff Papers40(1993),781-806.
[52] Jorion, P. and F.S. Mishkin, A Multicountry Comparison of Term Structure Forecasts atLongmHorizons, Journal of Financial Economics,29,1991, pp.59–80.
[53] Kim, Kenneth A. and Limpaphayom, Piman. The Effect of Economic Regimes on theRelation Between Term Structure and Real Activity in Japan. Journal of Economics andBusiness, July/August1997,49(4), pp.379-92.
[54] King, Thomas B., Levin, Andrew T. and Perli, Roberto. Financial Market Perceptions ofRecession Risk. Finance and Economics Discussion Series No.2007-57.
[55] Laeven, L., Does Financial Liberalization Reduce Financing Constraints? FinancialManagement, Vol.32, No.1(Spring,2003), pp.5-34.
[56] Laurent, Robert D. An Interest Rate-Based Indicator of Monetary Policy. Federal ReserveBank of Chicago Economic Perspectives,1988,12(1), pp.3-14.
[57] Lin, William and Sun, David，Liquidity-adjusted benchmark yield curves: a look at tradingconcentration and information，2007，MPRA Paper No.3728.
[58] McCauley, R. N., Benchmark Ttipping in the Money and Bond Markets, BIS QuarterlyReview, December,2001:39-45.
[59] McKinnon, R.. Money and Capital in Economic Development, Washington DC: TheBrookings Institution,1973
[60] Melo J. and Tybout J., The Effects of Financial Liberalization on Savings and Investment inUruguay, Economic Development and Cultural Change, Vol.34, No.3, Apr.,1986, pp.561-587.
[61] Mishkin, F.S., The Information in the Longer Maturity Term Structure about Future Inflation,Quarterly Journal of Economics105,1990a, pp.815–828.
[62] Mishkin, F.S., What Does the Term Structure Tell Us About Future Inflation? Journal ofMonetary Economics,25,1990b, pp.77–95.
[63] Moneta, F. Does the Yield Spread Predict Recession in the Euro Area? International Finance,Summer2005,8(2), pp.263-301.
[64] Plosser, Charles I. and Rouwenhorst, K. Geert. International Term Structures and RealEconomic Growth. Journal of Monetary Economics, February1994,33(1), pp.133-55.
[65] Porter Na., and T. Xu, What Drives China’s Interbank Market?. IMF working paper,2009,WP/09/189.
[66] Robertson, D., Term Structure Forecasts of Inflation, Economic Journal,1992,102, pp.1083–1093.
[67] Rosenberg, Joshua V. and Maurer, Samuel. Signal or Noise? Implications of the TermPremium for Recession Forecasting. Federal Reserve Bank of New York Economic PolicyReview, July2008,14(1), pp.1-11.
[68] Schich, S.T., Alternative Specifications of the German Term Structure and its InformationContent regarding Inflation, Deutsche Bundesbank, Discussion Paper,1996,8/96
[69] Shaaf, Mohamad. Predicting Recessions Using the Yield Curve: An Artificial Intelligence andEconometric Comparison. Eastern Economic Journal, Spring2000,26(2), pp.171-90.
[70] Shaw, E.. Financial Deepening in Economic Development, New York: Oxford UniversityPress,1973
[71] Sims C.A., Macroeconomics and reality, Econometrica,48,1993,1-47;
[72] Stiglitz, J., The Role of the State in Financial Markets, mimeo,1993, Stanford University
[73] Stock, James H. and Watson, Mark W. Forecasting Output and Inflation: The Role of AssetPrices. Journal of Economic Literature, September2003,41(3), pp.788-829.
[74] Tkacz, Greg. Neural Network Forecasting of Canadian GDP Growth. International Journal ofForecasting, January/March2001,17(1), pp.57-69.
[75] Tzavalis, E. and M.R. Wickens, Forecasting Inflation from the Term Structure, Journal ofEmpirical Finance,3,1996, pp.103–122.
[76] Venetis, Ioannis A., Paya, Ivan and Peel, David A., Re-Examination of the Predictability ofEconomic Activity Using the Yield Spread: A Nonlinear Approach. International Review ofEconomics and Finance,2003,12(2), pp.187-207.
[77] Wheelock David C. and Mark E. Wohar, Can the Term Spread Predict Output Growth andRecessions? A Survey of the Literature, Federal Reserve Bank of ST. Louis Review,2009,pp.419-440
[78] Wooldridge, P. D., The Emergence of New Benchmark Yield Curve, BIS Quarterly Review,December,2001:48-57.
[79] Wright, Jonathan, H. The Yield Curve and Predicting Recessions. Finance and EconomicsDiscussion Series No.2006-07.
[80][美]法博齐．债券市场：分析和策略．北京：北京大学出版社，2007
[81][美]菲亚博．债券及债券基金精要．北京：经济管理出版社，2004
[82][美]古扎拉蒂．计量经济学．北京：中国人民大学出版社，2000
[83][美]瓦什．货币理论与政策．北京：中国人民大学出版社，2001
[84]卞志村．泰勒规则的实证问题及在中国的检验．金融研究，2006（8）：56～69
[85]宾国强．实际利率、金融深化与中国的经济增长．经济科学，1999（3）：32～38
[86]曹海珍．中国债券市场发展的理论与实践．北京：中国金融出版社，2006
[87]陈飞，赵昕东，高铁梅．我国货币政策工具变量效应的实证分析．金融研究，2002（10）：25～30
[88]陈晖，谢赤．利率期限结构的最优估计及应用．长沙：湖南教育出版社，2008
[89]陈鹏，徐炜．我国利率期限结构对宏观经济有预测能力吗．金融发展研究，2009（9）：12～16
[90]戴国强，梁福涛．中国金融市场基准利率选择的经验分析．世界经济，2006（4）：3～11
[91]董乐．银行间回购利率的基准效应研究．中国管理科学，2008（3）：16～22
[92]杜金岷，郭红兵．我国基准收益率曲线的构建及其内含通货膨胀信息研究．经济前沿，2009（2-3）：73～84
[93]方先明，花旻．SHIBOR能成为中国货币市场基准利率吗．经济学家，2009（1）：85～92
[94]方先明，熊鹏．我国利率政策调控的时滞效应研究——基于交叉数据的实证检验．财经研究，2005（8）：5～16
[95]高铁梅．计量经济方法与建模．北京：清华大学出版社，2009
[96]管圣义．完善收益率曲线仍须“治本”．金融时报，2006-6-28，第8版
[97]郭红兵，钱毅．我国金融市场基准利率考察．金融理论与实践，2008（3）：37～40
[98]郭红兵．我国基准收益率曲线的构建及其货币政策关联性研究：[博士学位论文]．广州：暨南大学，2008
[99]郭涛，宋德勇．中国利率期限结构的货币政策含义．经济研究，2008（3）：39～47
[100]何志刚，倪官良．国债收益率曲线预测未来通胀变化的信息价值研究．证券市场导报，2010（4）：17～21
[101]胡新华，徐志宏．国债收益率曲线构建的国际比较研究．金融论坛，2009（3）：23～29
[102]胡永刚，杨智峰．财政农业支出对农村产出和消费影响的SVAR分析．数量经济技术经济研究，2009（7）：19～32
[103]惠恩才．国债收益率曲线与宏观经济相关性的实证研究．经济社会体制比较，2007（6）：52～56
[104]纪世宏．货币政策与国债收益率曲线．中国社会科学院研究生院学报，2003（3）：42～43
[105]蒋贤锋，王贺，史永东．我国金融市场中基准利率的选择．金融研究，2008（10）：22～36
[106]康书隆，王志强．中国国债利率期限结构的风险特征及其内含信息研究．世界经济，2010（7）：121～143
[107]李宏瑾，钟正生，李晓嘉．利率期限结构、通货膨胀预测与实际利率．世界经济，2010（10）：120～138
[108]刘英，赵震宇．不同货币政策工具作用下国债收益率曲线对通货膨胀预测能力分析．上海经济研究，2011（10）：40～45
[109]李倩．利率市场化需要完善收益率曲线．金融时报，2006-4-12，第8版
[110]李晓芳，高铁梅，梁云芳．税收和政府支出政策对产出动态冲击效应的计量分析．财贸经济，2005（2）：32～39
[111]李扬，王国刚，何德旭．中国金融理论前沿Ⅲ．北京：社会科学文献出版社，2003
[112]李扬，王国刚．中国金融改革开放30年研究．北京：经济管理出版社，2008
[113]李扬．稳定物价：90年代西方货币政策的唯一目标．国际经济评论，1999（Z3）：42～46
[114]梁琪，滕建州．中国宏观经济和金融总量结构变化及因果关系研究．经济研究，2006（1）：11～22
[115]刘英，赵震宇．不同货币政策工具作用下国债收益率曲线对通货膨胀预测能力分析．上海经济研究，2011（10）：41～45
[116]陆军，钟丹．泰勒规则在中国的协整检验．经济研究，2003（8）：76～93
[117]吕士伟．农村利率市场化改革可行性个案研究．金融研究，2003（1）：104～108
[118]马明，向桢．中国利率期限结构分析．经济学季刊，2002（4）：700～714
[119]曲强，张良，杨仁眉．外汇储蓄增长、货币冲销的有效性及对物价波动的动态影响．金融研究，2009（5）：47～60
[120]沈炳熙，曹媛媛．中国债券市场：30年改革与发展．北京：北京大学出版社，2010
[121]沈根祥．货币政策对利率期限结构的影响——基于动态Nelson-Siegel模型的实证分析．当代财经，2011（3）：59～66
[122]沈坤荣，汪建．实际利率水平与中国经济增长．金融研究，2000（8）：25～34
[123]盛松成，吴培新．中国货币政策的二元传导机制——“两中介目标，两调控对象”模式研究．经济研究，2008（10）：37～50
[124]石柱鲜，孙皓，邓创．中国主要宏观经济变量与利率限结构的关系：基于VAR-ATSM模型的分析．世界经济，2008（3）：53～59
[125]宋福铁，陈浪南．国债收益率曲线坡度的货币政策含义．上海金融，2004（5）：13～16
[126]孙皓，石柱鲜．中国利率期限结构对经济周期波动的预测能力——检验基于动态Probit模型的研究途径．经济与管理研究，2011（4）：64～71
[127]唐齐鸣，高翔．我国同业拆借市场利率期限结构的实证研究．统计研究，2002（5）：46～48
[128]唐旭．金融理论前沿课题（第二辑）．北京：中国金融出版社，2003
[129]万正晓．基于附息债券的人民币基准收益曲线．财经研究，2003（2）：36～40
[130]王广谦．中央银行学．北京：高等教育出版社，2006
[131]王晋斌，于春海．中国利率市场化改革的可能路径．金融研究，2007（12）：79～87
[132]王立勇，张良贵．开放条件下我国货币政策有效性的经验分析——基于目标实现与工具选择角度的评价．数量经济技术经济研究，2011（8）：77～90
[133]王媛，管锡展，王勇．利率的期限结构与经济增长预期．系统工程学报，2004（2）：25～32
[134]温彬．我国利率市场化后基准利率选择的实证研究．国际金融研究，2004（11）：54～60
[135]吴丹，谢赤．支持货币政策的利率期限结构模型．长沙：湖南教育出版社，2008
[136]吴曙明．关于国债利率成为基准利率的思考．中央财经大学学报，1997（8）：46～47
[137]夏斌，廖强．货币供应量已不宜作为当前中国货币政策中介目标．经济研究，2001（8）：14～16
[138]谢赤，董华香．论货币政策对利率期限结构的影响．湖南社会科学，2005（2）：81～83
[139]谢平，罗雄．泰勒规则及其在中国货币政策中的检验．经济研究，2002（3）：3～12
[140]谢平，袁沁敔．我国近年利率政策的效果分析．金融研究，2003（5）：1～13
[141]许东江．中国居民、银行、企业对利率市场化的理性反应．世界经济，2002（5）：69～75
[142]杨晔．我国企业债券市场利率环境的实证研究．金融研究，2008（2）：168～179
[143]易纲．进一步确立Shibor的基准性地位．中国货币市场，2008（1）：7～12
[144]易纲．中国改革开放三十年的利率市场化进程．金融研究，2009（1）：1～14
[145]于鑫．宏观经济对利率期限结构的动态影响研究．南方经济，2009（6）：25～33
[146]于鑫．利率期限结构对宏观经济变化的预测性研究．证券市场导报，2008（10）：43～47
[147]詹向阳等．银行间市场基准利率体系选择及Shibor运行分析．金融论坛，2008（4）：3～8
[148]张晓峒．应用数量经济学．北京：机械工业出版社，2009
[149]张亦春，郑振龙．金融市场学．北京：高等教育出版社，2003
[150]郑葵方．中国市场的基准利率评价．中国经济学年会论文，2008
[151]郑冉冉，张孝岩．农村金融机构进入问题研究．经济社会体制比较，2006（1）：125～128
[152]中国人民银行货币政策分析小组．稳步推进利率市场化报告．中国货币政策执行报告增刊，2005
[153]中国人民银行营业管理部课题组．利率规则在我国货币政策调控中的应用研究．北京：经济科学出版社，2010
[154]周小川．推进利率市场化改革建立基准收益率曲线．中国人民银行网站，2006-1-20
[155]周小川．关于推进利率市场化改革的若干思考．中国人民银行网站，2012-01-12
[156]朱世武．利率限结构对通货膨胀能力的实证分析．中国货币市场，2005（10）：37～39