中国实际利率与通胀预期的期限结构基于无套利宏观金融模型的研究.pdfVIP

中国实际利率与通胀预期的期限结构    基于无套利宏观金融模型的研究  ① 曾耿明 牛霖琳    摘 要:  国债市场中隐含的实际利率和通胀预期的信息对于指导我国的货币政策和投资 者决策具有重要的参考价值。本文通过采用简约型无套利宏观金融模型，第一次从中国银行 间国债收益率曲线中分解出债券市场实际利率和通胀预期的整个期限结构。从本文模型推断 的结果发现在2005 年 1 月到2012 年4 月的样本时间内银行间国债市场的实际利率长期处于 负值，反映出近年来货币政策偏于宽松和利率市场化机制未完善的问题。通过对本文分解的 通胀预期和其它同类通胀预期指标进行比较分析，发现通过本文方法获得的通胀预期很好地 反映了债券市场通胀预期的水平和变化趋势，也吻合通货膨胀的周期变化。同时因本文方法 能够推断不同期限的通胀预期，相比已有的单一期限通胀预期指标，能够为政策制定者和市 场投资者提供更为丰富的决策信息。        关键词：利率期限结构，实际利率，通胀预期  JEL 分类号：G12，E31，  E43      The Term Structures of Real Interest Rates and Expected Inflation in China: Analysis with a No-arbitrage Macro Finance Model Gengming Zeng Linlin Niu Abstract: The information of real interest rates and expected inflation is important to China’s monetary policy and investors’ decision. In this paper, we extract the term structure of real interest rates and expected inflation from the yield curve of China’s Treasury bond market by constructing a no-arbitrage macro finance model. We find that China’s real interest rates of various maturities from January 2005 to April 2012 have been persistently negative, reflecting the loose monetary policy and imperfection in the market mechanism of interest rates formation. When compared to existing indices of expected inflation, the expected inflation implied by our method is highly close in terms of level and variation. And the implied expected inflation also coincides with the business cycle of inflation fluctuation in China. The advantage of our method is that expected inflation of different future horizons can be constructed, which provides richer information than single index to policy makers and market participants. Key words: Term st