运用国债收益率曲线预测经济衰退的有效性研究.pdfVIP

论 文 摘 要 本文通过构造概率单位模型，对国债收益率曲线信息与未来发生经济衰退之 间的关系进行了研究。本文发现美国国债收益率曲线的斜率形状与位置高低因素 能够提前多个季度对未来的经济衰退做出有效预测。 在文中，本文利用 HP 滤波法自创了一套经济衰退的认定标准，并与 NBER 等权威经济研究机构所公布的经济衰退序列进行对比。本文发现无论采用哪种形 式的衰退认定方法，国债收益率曲线都对未来的经济衰退具有一定的预测能力。 此外，本文还检验了其他金融市场变量对国债收益率曲线衰退预测有效性的 增强作用。 关键词：国债收益率曲线，经济衰退，概率单位模型，HP 滤波 Abstract The paper researches on the relationship between the treasury yield curve information and the future economic recessions, by constructing a probit model. It is found that the slope as well as the height of U.S. treasury yield curve can well predict the upcoming economic recessions several quarters ahead. With the assistance of HP filter, the paper develops an innovative criterion to identify economic recessions, in comparison with the economic recession series publicized by other authoritative research institutions such as NBER. No matter which kind of recession identification is adopted, the treasury yield curve proves to have certain predictability over future economic recessions. Except for the treasury yield curve, whether other financial market variables can improve the accuracy of recession prediction is also examined in the paper. Key Words: treasury yield curve, economic recession, probit model, HP filter 目 录 第一章 导论············································································································ 1 第一节 本文的研究背景和选题意义 ···························································· 1 第二节 本文的研究思路和写作框架 ···························································· 1 第三节 本文的创新和不足之处 ···································································· 2 第二章 运用国债收益率曲线预测经济衰退的有关理论及相关文献综述 ········· 4 第一节 运用国债收益率曲线预测经济衰退的有关理论 ·····························