433 lzfa@fuda.edu.c czhag@us.hk 997 8 5 Emprcal sudy o he fluece of macro ecoomc varables o bod excess reurs Chese bod marke Logzhe Fa School of Maageme, Fuda Uversy, Shagha 433 Chu Zhag Deparme of Face Hog Kog Uversy of Scece ad echology, Clear ay, Hog Kog Absrac: Usg daa from Augus 997 o December 5, we vesgae he role of macroecoomc varables deermg bod yelds ad excess reurs he Cha reasury bod marke. We fd ha bod yelds are flueced by offcal eres rae, he CPI flao rae, he growh rae of real cosumpo, ad he growh rae of moey supply M. hese macroecoomc varables also have mpac o bod excess reurs. he bod excess reurs ed o crease wh he offcal eres rae level ad he flao rae, ad ed o decrease wh he growh rae of M. We also fd ha he mpac of he macroecoomc varables vares wh bod durao. Key words offcal eres raes; bod excess reurs; CPI; M; real cosumpo; durao
Fama, lss 987 Campbell, Shller 99 rad, Wag 3 alduzz, erola, Fores 997 Deod, age 99 Cochrae Pazzes 5 Cochrae Pazzes5 Ludvgso S Ng S. 5 99 Fa, Zhag 6 Fa, Zhag. 978 5 984 GDP 5.% 99 GDP 3.8% 994 % 999-3% 984
984 994 985 988 994 995 995 997 3 4 5.99% 997 8 997 8 5 7 3 7 3 997 8 7% CPI % PPI 7%
8 DR LR ER MR 6 4 Aug-97 Aug-99 Aug- Aug-3 Aug-5 Fg. Marke rae, depos rae, ledg rae ad excessve reserve rae ER DR LR MR. DR M M I C PPI CPI M
5 M M 5 CPI PPI 5-5 5 Aug-97 Aug-99 Aug- Aug-3 Aug-5 - Aug-97 Aug-99 Aug- Aug-3 Aug-5 C 4 I 5 3 5 Aug-97 Aug-99 Aug- Aug-3 Aug-5 Fg. Aug-97 Aug-99 Aug- Aug-3 Aug-5 Aually growh raes of ma macro ecoomc varables CPI, PPI M, M M, M C, I 3 3 Y p A A ε C, I, CPI, PPI, M, M, DR, Y 3 ' p4 6 Hamlo 994 M PPI M
M M M M M CPI. DR CPI M r DR r DR r DR Y [ r, CPI, M ]' Ludvgso S Ng S. 5 R r β β k Y, k ε k R Y, k Y ε k
able Varace decomposo 4 6
β β k β β β D k k, k, k D R r β β β D Y ε k k, k,, k 3 ε. 997 8 997 8 5 4 4 3 4 5 998 [ l CI l CI ] R CI C [ l CI C l CI ] R r 3
3 CPI 4 *396 *696 *796 *896 *97 *973 *974 *995 *998 *3 *7 * * *5 6 4 - -4-6 Aug-97 Aug-99 Aug- Aug-3 Aug-5 3 4 MCMC 3 ε 3 r r R r β β r β CPI β M ε 4 r, CPI, M, 3
R r β β β M, r, r M β r, β D M, D r β M CPI, CPI ε β CPI, D CPI 5 4 5 3 4 CIR rad, M. W. ad Wag K. Q. 3 Ludvgso S, Ng S6 rad, M. W. ad Wag K. Q. 5 4 βcpi, 6 5 βcpi, 3 6 βcpi, 3 β β r, β r, β CPI, β CPI, β M, β M, 4 3.93.96.59 -.3-8.64 3.94 3. -4.6 5 3.76.8.7.94 -.6 -. -. - 8.56 5.6.94.7-4.8-7.73 -.59 3 997 8 5 997 3 5 6 βcpi,.3 5.3
ackus D, Fores S, Mozumdar A, Wu L. Predcable chages yelds ad forward raes[r]. NER workg paper 6379, 998 alduzz P, erola G, ad Fores S. A model of arge chages ad he erm srucure of eres raes [J]. Joural of Moeary Ecoomcs, 997, 9: 3-4 erkaer G, Hodrck R, Marshal D. O bases he ess of he ecaos hypohess of he erm srucure of eres raes [J]. Joural of Facal Ecoomcs, 997, 44: 39-348 rad M. W. ad Wag K. Q. me-varyg rsk averso ad ueced flao [J]. Joural of Moeary Ecoomcs, 3, 5: 457-498 Campbell J. A defese of radoal hypohess abou he erm-srucure of eres raes [J]. Joural of Face, 986, 4, 83-93 Campbell J, Shller R. Yeld spreads ad eres rae movemes: a brd eye s vew [J]. Revew of Facal Sudes, 99, 58: 95-54 Cochrae J, Pazzes M. od rsk prema [J]. he Amerca Ecoomc Revew, forhcomg Cox J, Igersoll J, Ross S. A reexamao of radoal hypohess abou he erm srucure of eres raes[j]. Joural of Face, 98, 36: 3-346 De od W. F. M. ad age M. M. Iflao forecas errors ad me-varao he erm prema [J]. Joural of Facal ad Quaave Aalyss, 99,7: 358-373 Duffee G. erm prema ad eres rae forecass affe model [J]. Joural of Face,, LVII:45-443 Fama E, lss R. he formao he log-maury raes [J]. Amerca Ecoomc Revew, 987, 77: 68-69 Fa L, Zhag C. he Chese erbak repo marke: a aalyss of erm premums [J]. Joural of Fuures markes, 6, 6 : 53-67 Fa L, Zhag C. eyod segmeao: he case of Cha s repo markes [J]. Joural of akg ad Face, forhcomg Hamlo J. me seres aalyss [M]. Prceo Uversy Press, Prceo: New Jersey, 994 Logsaff F. he erm srucure of very shor erm raes: ew evdece for he ecaos hypohess [J]. Joural of Facal Ecoomcs,, 58: 397-45 Ludvgso S, Ng S. Macro facor bod rsk prema [R], NER workg paper W73, 5 [M]
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