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Modelling government bonds: macroeconomic, financial and international linkages

政府债券建模：宏观经济、金融和国际联系

基本信息

批准号：
ES/K001345/1
负责人：
Laura Coroneo
金额：
$ 20.39万
依托单位：
University of York
依托单位国家：
英国
项目类别：
Research Grant
财政年份：
2013
资助国家：
英国
起止时间：
2013 至无数据
项目状态：
已结题

来源：
https://gtr.ukri.org/projects?ref=ES%2FK001345%2F1
关键词：
Modelling government bonds macroeconomic financial

项目摘要

The recent financial, economic and sovereign debt crises have highlighted how financial markets and economic activity around the world are strongly interconnected. These macroeconomic, financial and international linkages pose a significant challenge to both macroeconomists and financial economists. Macro models often summarize the entire financial sector by a few interest rates and, similarly, finance models typically include only a few macroeconomic indicators to capture a minimum set of information about the macroeconomic environment. However, the recent crises uncovered that bond prices respond to a large set of macroeconomic and international variables, and that monetary policy reacts to financial conditions in an attempt to stabilize the economy. In addition, as the short rate hit the zero-lower bound, Central Banks acted on long-term government bonds to provide additional stimulus to the economy. This evidence calls for government bond models that include information about the entire economy allowing for the presence of a large number of macroeconomic, financial and international indicators. Such models are challenging both for identifying and quantifying the driving factors that the economist is interested in. The proposed work will develop and apply models for large datasets to the context of government bonds using and extending an approach developed by the Principal Investigator. In particular, the proposed research will focus on two areas. The first area is related to the investigation of the government bond risk premium both from a macro-finance and an international finance perspective. The second area focuses on the predictive power of government bonds for economic activity.The analysis of the government bond risk premium has recently attracted considerable attention for mainly three reasons. First, Central Banks around the world use long-term government bonds to assess market expectations of inflation and evaluate the overall stance of monetary policy. Accurately reading of this information requires separating out the bond risk premium. Second, typical clientele for long-term government bonds are pension funds, insurance companies and banks. Properly measuring the bond risk premium has important implications for the portfolio allocation choices and the performance of these institutional investors. Third, governments around the world borrow by issuing debt. Understanding the evolution of the bond risk premium can help governments determining the best mix of securities to issue in order to keep debt servicing costs low and predictable. Yet, despite the clear practical importance of correctly measuring the bond risk premium, there is relatively little consensus about its empirical properties. The proposed research aims at improving the understanding of the government bond risk premium analyzing the role of a large set of macroeconomic, financial and international indicators.Using government bonds to construct early warning indicators of improvement or deterioration in macroeconomic conditions is important for at least two reasons. First, governments routinely analyze the sustainability of publicly financed social welfare systems and design government budgets. These decisions depend on future tax returns forecasts which rely on GDP growth predictions. Second, monetary policy affects the economy with long lags. Accurately assessing the impact of a specific policy requires information about GDP growth forecasts. The proposed research aims at re-assessing, introducing large datasets and new econometric techniques, to which extent government bonds contain useful information for predicting economic activity. The main objective of the proposed research in this area is to develop models that provide more accurate predictions for economic activity.

最近的金融、经济和主权债务危机突出表明，世界各地的金融市场和经济活动是如何紧密相连的。这些宏观经济、金融和国际联系对宏观经济学家和金融经济学家都构成了重大挑战。宏观模型通常通过几个利率来概括整个金融部门，同样，金融模型通常只包括几个宏观经济指标，以获取有关宏观经济环境的最低限度信息。然而，最近的危机表明，债券价格对一系列宏观经济和国际变量作出反应，货币政策对金融状况作出反应，试图稳定经济。此外，随着短期利率触及零下限，中央银行对长期政府债券采取行动，为经济提供额外的刺激。这一证据要求政府债券模型包括关于整个经济的信息，允许大量的宏观经济，金融和国际指标的存在。这些模型在识别和量化经济学家感兴趣的驱动因素方面都具有挑战性。拟议的工作将开发和应用模型的大型数据集的背景下，政府债券使用和扩展的方法开发的主要研究者。特别是，拟议的研究将集中在两个领域。第一个领域是从宏观金融和国际金融的角度研究政府债券风险溢价。第二个领域是政府债券对经济活动的预测能力。政府债券风险溢价的分析最近引起了相当大的关注，主要有三个原因。首先，世界各国的中央银行使用长期政府债券来评估市场对通货膨胀的预期，并评估货币政策的总体立场。要准确阅读这些信息，需要将债券风险溢价分离出来。其次，长期政府债券的典型客户是养老基金、保险公司和银行。正确度量债券风险溢价对机构投资者的投资组合选择和投资绩效具有重要意义。第三，世界各国政府通过发行债券来借款。了解债券风险溢价的演变可以帮助政府确定发行证券的最佳组合，以保持较低和可预测的偿债成本。然而，尽管正确测量债券风险溢价具有明确的实际重要性，但对其经验性质的共识相对较少。本研究的目的是通过分析大量宏观经济、金融和国际指标的作用，提高对政府债券风险溢价的认识。利用政府债券构建宏观经济状况改善或恶化的预警指标至少有两个重要原因。首先，政府定期分析公共资助的社会福利体系的可持续性，并设计政府预算。这些决定取决于未来的纳税申报预测，而纳税申报预测又依赖于GDP增长预测。其次，货币政策对经济的影响具有长期滞后性。准确评估具体政策的影响需要有关GDP增长预测的信息。拟议的研究旨在重新评估，引入大型数据集和新的计量经济学技术，政府债券在何种程度上包含预测经济活动的有用信息。这一领域拟议研究的主要目标是开发模型，为经济活动提供更准确的预测。