Abstract: Based on the quarterly data from the second quarter of 2002 to the fourth quarter of 2019, this paper uses the Granger causality test, the variance decomposition and the TVP-VAR model to analyze the time-varying characteristics of the influence of the internal and external equilibrium of China's economy on the China-US treasury yield spread. The findings are as follows: (1) In terms of the influence degree, the influence of the internal equilibrium on China-US treasury yield spread is higher than that of the external equilibrium. (2) From the perspective of time series, it is found that the influence of the internal equilibrium and the external equilibrium on China-US treasury yield spread is on the decrease over time whether it is the equal interval impulse response function or the time point impulse response function. (3) By combining theoretical analysis with the Granger causality test, it is proved that both the internal equilibrium and the external equilibrium are granger reasons for the China-US treasury yield spread. This study is of great practical significance to make a good macroeconomic policy coordination and to promote a highquality economic development.

Key words: Internal Equilibrium, External Equilibrium, China and US Treasury Yield Spread, Treasury Bond Yield

摘要： 本文基于2002Q2～2019Q4的季度数据,采用格兰杰因果检验、方差分解和TVP-VAR模型,分析了我国经济内外均衡状况对中美利差影响的时变特征。研究发现:(1)从影响程度来看,内部均衡对中美利差的影响整体高于外部均衡;(2)从时间序列来看,无论是等间隔脉冲响应函数,还是时点脉冲响应函数,均发现内部均衡和外部均衡对中美利差的影响随时间变化而不断减弱;(3)通过理论分析结合格兰杰因果检验,证实了因果效应,即内部均衡与外部均衡均是中美利差的格兰杰原因。本研究对合理搭配宏观经济政策、推动经济高质量发展具有重要的实践意义。

关键词: 内部均衡, 外部均衡, 中美利差, 国债收益率