中国利率期限结构的货币政策含义  

Meanings of the Term Structure of Interest Rates for Monetary Policy in China

作　　者：郭涛[1] 宋德勇[1] 

机构地区：[1]华中科技大学经济学院,430074

出　　处：《经济研究》2008年第3期39-47,共9页Economic Research Journal

摘　　要：本文采用Nelson-Siegel参数模型连续估计了中国利率期限结构曲线,实证了远期利率对未来即期利率的预测能力,分析了央行货币政策措施对利率期限结构的影响和实施效果,研究了利率期限结构与未来通货膨胀的关系。研究结果表明,中国利率期限结构能够为研究制定货币政策提供大量有用的信息。The paper uses Nelson-Siegel model continuously estimates the curve of the term structure of interest rates in China. The paper testes the power of future interest rates forecasting spot interest rates aftertime, Based on analyzing the change in the curve of the term structure of interest rates, the paper analyzes the effect of monetary policy actions of People＇ s Bank of China, and researches the relation between the term structure of interest rates and future inflation. The research result of the paper shows that the term structure of interest rates can provide a lot of useful information for monetary policy in China.

关 键 词：利率期限结构 货币政策 中国 通货膨胀 

分 类 号：F822[经济管理—财政学]