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利率既是宏观经济调控的重要工具,也是金融市场的核心定价基准。在宏观不确定性持续攀升的背景下,厘清其对利率的传导机制具有重要意义。基于TVP-SV-VAR模型考察宏观不确定性冲击下利率响应的时变特征及中美两国的跨国异质性。研究发现宏观不确定性通过风险溢价、预防性储蓄、金融摩擦及政策响应等多重机制影响利率,且其作用受经济周期、政策空间和金融结构演进而动态演变。中美利率响应的跨国异质性源于国债金融属性的不同:美国国债金融属性成熟,利率响应更具灵敏性和即时性,体现市场化逻辑;中国国债侧重财政融资与宏观调控职能,利率响应相对平缓但持续性更强,反映政策调控特征。
Abstract：Interest rates serve as both a crucial instrument for macroeconomic regulation and a core pricing benchmark in financial markets.Against the backdrop of continuously rising macroeconomic uncertainty,clarifying the transmission mechanism of such uncertainty to interest rates holds significant importance.Based on a comparative study of China and the United States and employing a TVP-SV-VAR model,this paper examines the time-varying characteristics and cross-country heterogeneity of interest rate responses to macroeconomic uncertainty shocks.The findings reveal that macroeconomic uncertainty affects interest rates through multiple channels,including risk premium,precautionary savings,financial friction,and policy response.Moreover,the impact dynamically evolves with changes in the economic cycle,policy space,and financial structure.The cross-country heterogeneity between China and the U.S.stems from differences in the financial attributes of government bonds:U.S.Treasuries,with mature financial functions,induce interest rate responses that are more sensitive and immediate,reflecting marketdriven logic;whereas Chinese government bonds,which emphasize fiscal financing and macro-control roles,lead to relatively smoother but more persistent interest rate responses,reflecting policy-oriented adjustment characteristics.
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基本信息:
中图分类号:F832;F837.12
引用信息:
[1]李成威,韦扬.宏观不确定性冲击下利率时变响应的中美比较——基于TVP-SV-VAR模型的实证分析[J].经济与管理评论().
基金信息:
国家社会科学基金重大专项“中央和地方财政关系的理论建构、历史经验和协调机制研究”(24ZDA040)
2026-08-26
2026-08-26
2026-08-26