罕见灾难、不确定性冲击和国债风险溢价--基于非线性DSGE模型

摘要

基于三阶矩近似解下非线性动态随机一般均衡（DSGE）模型的理论框架，比较分析了罕见灾难和不确定性（包括SV和GARCH）的技术冲击对中国长期国债风险溢价的影响。研究结果表明：罕见灾难影响国债风险溢价的水平值，但不影响风险溢价的波动性；SV及GARCH冲击影响风险溢价水平值和时变性；加入罕见灾难、SV及GARCH冲击的DSGE模型能更好地拟合长期国债风险溢价的非线性和时变特征。%Based on the theoretical framework of the third order approximate solution of nonlinear dynamic stochastic general equilibrium (DSGE) ,the article comparatively analysis the impact on our long‐term government bond risk premium of rare disaster and uncertainty shocks (including SV and GARCH) . The conclusions show that :(1) rare disaster affect the level value of the bond risk premium ,but does not affect the volatility of the risk premium ;(2) SV and GARCH affect the risk premium level value and time variability .Therefore ,adding rare disaster ,SV and GARCH shocks to DSGE model can better fit the nonlinear and time‐varying characteristics of long‐term bond risk premium .