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中国工业与应用数学学会会刊
主管：中华人民共和国教育部
主办：西安交通大学
ISSN 1005-3085  CN 61-1269/O1
工程数学学报

工程数学学报 ›› 2021, Vol. 38 ›› Issue (6): 809-821.doi: 10.3969/j.issn.1005-3085.2021.06.005

• • 上一篇    下一篇

新常态下 PPI 与十年期国债收益率的动态关系研究

袁伟鹏,   张  翼,   张  飞,   杨伟明   

  1. 中原银行股份有限公司，郑州 450000
  • 出版日期:2021-12-15 发布日期:2022-02-15

Research on the Dynamic Relationship between PPI and 10-year Treasury Bond Yield in the New Normal Period

YUAN Weipeng,   ZHANG Yi,   ZHANG Fei,   YANG Weiming   

  1. Zhongyuan Bank Company Limited, Zhengzhou 450000
  • Online:2021-12-15 Published:2022-02-15

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摘要：

基于工业生产者出厂价格指数 (PPI) 与十年期国债收益率的数据构建向量自回归 (VAR) 模型，并通过 Granger 因果检验、脉冲响应函数分析、方差分解等分析探讨 PPI 与十年期国债收益率之间的定性、定量关系。因果检验的结果表明 PPI 为十年期国债收益率的 Granger 原因，但十年期国债收益率不是 PPI 的 Granger 原因，从而表明 PPI 对十年期国债收益率走势有预测作用。进而，脉冲响应分析得出 PPI 对十年期国债收益率具有正向影响。本文最后给出预测 PPI 的方法，为判定十年期国债收益率的走势以及债券投资提供参考。

关键词: PPI, 十年期国债收益率, Granger 因果检验, 脉冲响应函数, 方差分解

Abstract:

A vector autoregressive (VAR) model is constructed based on the data of industrial producer price index (PPI) and 10-year treasury bond yield. By analyzing the results of the Granger causality test, impulse response, and analysis of variance decomposition, the qualitative and quantitative relationship between China's PPI and the 10-year treasury bond yield is systematically examined. The result of causality test reveals that PPI is the Granger cause of 10-year treasury bond yield, but the 10-year treasury bond yield is not the Granger cause of PPI, thus indicating that PPI has a predictive effect on the trend of 10-year treasury bond yield. Furthermore, the impulse response analysis shows that PPI has a positive effect on the 10-year treasury bond yield. At last, the method for PPI forecast is given, which provides a reference for determining the trend of the 10-year treasury bond yield and bond investment.

Key words: producer price index (PPI), 10-year treasury bond yield, Granger causality test, impulse response function, variance decomposition

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