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  

The Term Structures of Real Interest Rates and Expected Inflation in China;Analysis with a No-arbitrage Macro Finance Model

作　　者：曾耿明[1] 牛霖琳[1] 

机构地区：[1]厦门大学王亚南经济研究院,福建厦门361005

出　　处：《金融研究》2013年第1期24-37,共14页Journal of Financial Research

基　　金：国家自然科学基金青年项目(70903053);青年-面上连续项目(71273007)的资助

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。本文模型推断结果发现在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。The information of real interest rates and expected inflation is important to the 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 from January 2005 to April 2012, China＇s real interest rates of various maturities have been persistently negative, reflecting the loose monetary policy and imperfection in the market mechanism of interest rates forma- tion. 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 the expected inflation of different future horizons can be constructed, which provides richer information than single index to policy makers and market participants.

关 键 词：利率期限结构 实际利率 通胀预期 

分 类 号：F224[经济管理—国民经济] F822F832