中文摘要：

研究了从1997年8月至2005年12月，中国债券市场利率和债券的超额回报率与货币政策变量、宏观经济变量的关系．发现市场利率综合反映了官方利率、货币供应量的增长率、通货膨胀率和实际消费的增长率．根据金融理论，它们的不确定性变化可能影响到债券的预期超额回报率．实证分析发现它们可以显著解释债券的超额回报率．市场短期利率或官方利率越大，债券的超额回报率越大；通货膨胀率越高，债券的超额回报率也越大；实际消费增长率越大，债券的超额回报率越小；货币供给量增加越快，债券的超额回报率越小．由于各个债券超额回报率的样本区间不同，还基于MCMC方法提出一种合适的参数估计方法．

英文摘要：

Using sample data from August 1997 to December 2005, this paper studies the effect of macro economic variables on market interest rate, and the explanation of macro economic variables for bond excess returns in the Chinese bond market. It is found that market interest rates are obviously influenced by official interest rate, especially 1 -year deposit interest rate , inflation rate such as growth rate of CPI, real consumption growth rate, and the growth rate of money supply M1. These macro economic and money policy varia- bles also have strong influences on bond excess returns. The higher the interest rate level with repo rates as representative, the higher the bond excess returns; the higher the inflation rate with CPI growth rate as rep- resentative, the higher the bond excess returns; the higher the real consumption growth rate, the lower the bond excess returns; and the higher the growth rate of M1, the lower the bond excess returns. Because of the difference in the sample periods of different bonds, the paper gives a suitable estimation method based on MCMC.