利率期限结构的远期利率预测作用——经期限溢价修正的预期假说检验

摘要

In this paper, the forecast ability of the forward rates implied by the term structure to the future spot rates is tested. The results show that there are time-various term premium in the term structure, which explains the expectation puzzle. If the term premium factors considered, the forward rates contain of the information of future spot rates, and we cannot reject the expectation hypothesis, which is important to the central banker when observing the market＇s expectation on the future economy and future rates as well as judge the real mone- tary position. Also, our findings provide theoretical support to China＇s further interest liberalization and indirect monetaD, policy implementation.%根据预期假说，本文对我国利率期限结构的远期利率预测作用进行了经验分析。结果表明，我国利率期限结构存在明显的时变溢价特征，这可以解释利率期限结构中的“预期之谜”。经期限溢价修正后，利率期限结构所隐含的远期利率包含了大量未来即期利率变化的信息，而且无法拒绝预期理论。这对中央银行观察金融市场对经济的预期和未来利率走势，判断实际货币政策态势，具有重要的参考价值，并为我国推进利率市场化、实现通过利率价格工具调整开展间接调控的货币政策模式转型，提供了可靠的理论依据。