国债收益率曲线预测未来通胀变化的信息价值研究  

Treasury yield curve'value of information in forecasting future inflation changes

作　　者：何志刚[1] 倪官良[1] 

机构地区：[1]浙江工商大学,浙江杭州310018

出　　处：《证券市场导报》2010年第4期17-21,共5页Securities Market Herald

基　　金：浙江省高校人文社会科学浙江工商大学金融学重点研究基地资助;2007年度浙江省"钱江人才计划"择优资助人员项目(C类)<我国债券市场的微观结构与透明度研究>资助

摘　　要：利率期限结构具有预测未来通货膨胀率变化的信息价值,这在国外的大量研究中已得到肯定。本文采用NSS模型估计了我国上海证券交易所的国债收益率曲线,并采用Mishkin模型和扩展的Mishkin模型,实证分析了上交所国债收益率曲线对未来通货膨胀率变化的预测能力,并研究了不同期限的国债收益率与通货膨胀率的关系。结果表明,上交所国债收益率曲线不具有预测未来通货膨胀率变化的信息价值,而且不同期限的国债收益率与当前的通货膨胀率存在很强的正相关,而与未来通货膨胀率的正相关很弱,甚至存在负相关。A large number of foreign studies have proved that the future inflation changes. In this paper, we used NSS model to term structure of interest rates contains the information of estimate the yield curve of China＇ s treasury bonds in Shanghai Exchange. We also used the Mishkin model and the extended Mishkin model to analyze the curve＇ s predictive ability for the future inflation changes, the relationship between yields of different maturity and inflation was studied as well. The results show that the treasury yield curve in Shanghai Stock Exchange does not predict the future inflation changes, and there is a strong positive correlation between different maturity bond yields and the current inflation rate, while the correlation to the future inflation rate is very weak or even negatively correlated.

关 键 词：收益率曲线 通货膨胀 国债市场 利率期限结构 

分 类 号：F830.9[经济管理—金融学]