关键词: 利率期限结构, 动态因子模型, 可解释因子, 正交冲击项

Abstract: While the dynamic factor models are often used to build up yield curve, the factor’s economic meaning are often not clear and the shocks from different factors are not orthogonal with each other which mixes the effects of shocks from different factors on yield curve. It constructs a special factor model of the yield curve with parameter-constrain so that shocks are mutually orthogonal and the factors assume clear, intuitive interpretations. It conducts the empirical study by using the data from China bond market. The conclusion shows that the model fits the yield curve well and can identify the typical events in economy. The impulse-response analysis from estimated model shows that the shock of short-term interest has no effects on long-term and medium-term interest rate, which means the conduction of monetary policy through yield curve short end is hindered, while the shock of medium-term interest has significant and long-lasting effect on long-term interests. The central bank can implement the monetary policy directly through the medium part of yield curve using innovative tools (such as Medium-term Lending Facility) to improve the efficiency of price-rule monetary instruments.

Key words: Term Structure of Interest Rates, Dynamic Factor Model, Intelligible Factors, Orthogonal Shocks