| The term structure of interest rate and its term premium are the core issues in the study of macro-finance model,it is of great significance for asset pricing and financial risk prevention to study the term structure of interest rate and the micro formation mechanism of term premium.This paper establishes a new Keynesian DSGE model,analyzes the influence of the micro-subject behavior or behavior mode,such as internal consumption habit,consumption preference,price rigidity and recursive utility,on the macroeconomic fluctuation,analyzes the role of these behavioral factors in the formation and change of term structure of interest rate and term premium,and this paper empirically analyses the effect of monetary policy on the term structure of interest rates and term premium by using the traditional and extended Taylor rule of adding yield spreads.The following important conclusions are obtained:First,the results of numerical simulation research using the third order perturbation method shows that low risk aversion coefficient can also lead to a high term premium under the assumption of recursive utility,consumption habits,capital adjustment costs and nominal rigidities are useful in explaining the "bond premium puzzle".Second,the impulse response analysis of the model shows that the form of exogenous shock does not change the response direction of the variable to the impact,but the response amplitude of the variable to the impact.The exogenous shock intensity of random fluctuation and heteroscedasticity fluctuation is stronger than that of normal distribution.Third,the bayesian estimation results of the model show that the micro subject behavior has a significant impact on the term structure of interest rate and the formation of term premium,Random fluctuations and heteroscedasticity of exogenous shocks exacerbate the volatility of the term premium,the nominal interest rate term premium of China's Treasury bonds is gradually increasing,while the real interest rate term premium is decreasing.Fourth,the analysis of historical variance shows that the main fluctuation factors of GDP growth are technological progress shock,consumption preference shock and interest rate shock,but The main driving factors of the decline in GDP are consumption preference shock,interest rate shock and inflation target shock.The rising inflation is mainly driven by the consumer preference shock and the inflation target shock,while the declining is driven by the technological progress and the inflation target shock,and the interest rate shock does not make a strong contribution to the inflation rate.The main drivers of the fluctuation of Treasury bond maturity premium are technological progress and impact of consumption preference.Fifth,the exogenous impact history decomposition and edge density function of the model show that the yield spread added to the prospective Taylor rule reduces the edge density function value and model fitting degree,The historical decomposition of exogenous shock shows that the effect of the extended Taylor rule with policy interest rate regulation is lower than that of the forward-looking traditional Taylor ruleThe main contribution of this paper is to build a macro-financial model with internal consumption habit,consumption preference,capital adjustment cost and nominal rigidity under the framework of New Keynesianism,to analyze the formation and transmission mechanism of the risk source of the term structure of China's Treasury bonds interest rate from the perspective of micro subject behavior,at the same time,the influences of the stochastic volatility and heteroscedasticity volatility fluctuation forms of production technology,consumption preference and monetary policy rule shock on the term structure of interest rate and risk premium of China's Treasury bonds are investigated.This paper estimates the term premium and inflation risk of China's Treasury bonds interest rate term by using bayesian method,it provides some reference significance for understanding the features of the term structure of China's Treasury bonds interest rate and preventing debt risk.The overall framework of this paper is to analyze the interaction mechanism of macroeconomic fluctuations with interest rate term structure and term premium under the framework of a new Keynesian DSGE model,the impact of exogenous shocks such as consumption habit,production technology,subjective preference and monetary policy on the term structure of China's Treasury bonds interest rate and risk premium is numerically simulated,to carry out comparative analysis the regulatory effect of different types of monetary policies.The thesis mainly includes the following three core contents:First,in the NK-DSGE framework,residents introduce E-Z preferred utility function form and investment cost function,and considers household residents have internal consumption habits.Manufacturers use Calvo method pricing(Both static price adjustment and dynamic price adjustment are considered),bonds are priced according to endogenous stochastic discount factor(SDF),a dynamic stochastic general equilibrium model is established.In the model solution and estimation,in order to obtain the time-varying term premium,the third-order disturbance method of Andreasen(2012)is adopted to approach the solution.Since the state variable may have divergent sample path when the higher-order Taylor expansion solution is solved,the Pruning method proposed by Andreasen et al.(2016)is adopted for correction,using bayesian estimation technology and scenario numerical simulation estimation model,the nominal yield curve is decomposed into real yield,inflation expectation,convex terms and inflation premium.According to the theory of expectation,According to the theory of expectation,the China's Treasury bonds maturity premium of different maturities is obtained.The fitting degree of the model is judged by comparing the first and second order unconditional moments of the key variables.Second,quantitative analysis of consumption habits,nominal price rigidity to the interpretation of the term premium.The impact of consumer preference shock,production technology shock and monetary policy shock on macroeconomic fluctuations is analyzed by using the impulse response functions(IRFS).At the same time,the variance decomposition of multiple periods is performed to obtain the impact degree of these exogenous shocks on macroeconomic fluctuations and term premium.Third,in the analysis of the dynamic correlation between monetary policy and interest rate term structure and term premium,the Taylor rule in response to inflation gap and output gap is first considered,and then the monetary policy rule with spread adjustment is analyzed to analyze the effect of monetary policy pegged spreads on stabilizing financial and economic environment.Considering the random fluctuations and heteroscedasticity fluctuations of monetary policy shocks,the impact of different shock forms of monetary policy on the maturity premium is analyzed.The paper consists of six chapters,and the specific structure is as follows:Chapter 1 of this paper is an introduction,which mainly expounds the significance of this paper's research,and briefly introduces and explains the research content,research methods,possible innovations and the shortcomings of this paper's research.Chapter 2 of this paper is the literature review part.First of all,a brief review is made on the simple non-arbitrage affine term structure model and the latest research direction,it is considered that the non-arbitrage affine term structure model is still insufficient in studying the micro form mechanism of interest rate term structure.Then,the relationship between consumption habit,recursive utility preference,capital adjustment cost and nominal rigidity and capital asset pricing is comprehensively reviewed,it is believed that the behavior factors of these micro subjects are the main factors to form the term premium of interest rate term structure.The application of perturbation method in studying interest rate term structure and risk premium is briefly reviewed,it is considered that different exogenous shock modes have important influence on the formation of risk premium when high order disturbance method is used to approach the risk premium of interest term structure.Chapter 3 is the theoretical modeling part.That is to say,on the basis of new keynesianism,it considers the three-sector economy of consumer,producer and central bank,and establishes the macroscopic financial model of term structure of interest rate under the condition of general equilibrium,it introduces the endogenous consumption habit,the capital adjustment cost,the staggered pricing and other micro subject behavior factor,it is based on inertia of exogenous shocks such as production technology,consumption preference and monetary policy,on the basis of the normal distribution benchmark model,the Stochastic volatility and GARCH volatility are considered in order to examine the impact of different types of shocks on the term structure and premium of China's Treasury bonds.Chapter 4 of this paper is the numerical simulation of the model.On the basis of calibrating the core parameters,various models are numerical simulated,compared and analyzed,on this basis,the response function of each variable to three different forms of exogenous shocks is analyzed.For the weak identification of some structural parameters or the stability of the model,the sensitivity analysis of some structural parameters is carried out to analyze the sensitivity of some key variables to some parameters and to judge the stability of the model.Chapter 5 is the empirical analysis part of the model.Firstly,the basic idea and principle of bayesian estimation are introduced.On the basis of calibrating some parameters,the interest rate term structure DSGE model of China's Treasury bonds is estimated by using bayes method,based on the estimation results,the term structure of interest rate and its term premium are analyzed and some new conclusions are obtained.Finally,the stability of the model parameter estimation and the overall stability of the model are analyzed.Chapter 6 is the conclusion and policy recommendations.This part systematically summarizes the results of numerical simulation and empirical test of the model,and puts forward corresponding policy recommendations based on the results.The results show that the addition of yield spread in the forward-looking Taylor rule does not conform to the characteristics of China's monetary policy rules,and does not achieve the policy effect of reducing the yield spread.The government should reasonably guide consumption and strengthen the management of inflation expectations,so as to reduce unnecessary external shocks and promote the sustainable and healthy development of the economy.The innovation points of this paper are mainly reflected in the following aspects:First,based on the dynamic stochastic general equilibrium model of New keynesianism,this paper analyzes the formation and influence factors of the term structure of China's Treasury bonds interest rate and analyzes the formation and transmission mechanism of the risk source of the term structure of China's Treasury bonds interest rate from a microscopic perspective.The traditional dynamic stochastic general equilibrium model based on real economic cycle(RBC)assumes that the market is perfect and there is no friction,thus giving up the influence of some nominal variables and actual variables on the term structure of China's Treasury bonds interest rate.In fact,the term structure of interest rates contains the expectation of economic subjects on future information,Inflation and inflation expectations are important macro-control variables,and also important intermediate variables in the transmission mechanism of interest rates,which have a significant impact on the formation of term structure of interest rates.This paper relaxes the assumption that the intermediate product market is a perfect competition market,assuming that the product market has price stickiness,and at the same time introduces the endogenous consumption habit and capital adjustment function in the recursive preference utility function model,so as to simulate the behavior preference and behavior mode of microeconomic subject more realistically.Second,the effects of stochastic volatility and heteroscedasticity volatility on the term structure and risk premium of China's Treasury bonds are investigated.The risk premium is extremely sensitive to the distribution form of impact.Due to its symmetric distribution and invariant variance hypothesis,the ordinary gaussian distribution impact form can not explain or underestimate the time-varying nature of risk premium in the term structure of interest rates,thus leading to the model estimation bia.In this paper,the Time-varying form of random and heteroscedasticity shocks is considered,so that long-term risks and heterogeneous fluctuations in the term structure of interest rates can be more accurately captured.Third,the applicability of the forward-looking Taylor rule and the extended Taylor rule with interest rate spread in China's monetary policy is analyzed.The fitting degree of the two models and the historical decomposition of monetary policy shocks are estimated by using the bayesian method.Marginal density function and the estimated values and the fitting degree of sample data shows that the forward-looking traditional Taylor rule fit better than the extended Taylor rule with yield spread,decomposition of the impact of monetary policy history shows,forward-looking Taylor rule shock response amplitude is greater than the traditional join yield spreads the extension of the Taylor rule response amplitude.Comparatively speaking,our country is more suitable for the forward-looking traditional Taylor rule. |
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