利率期限结构的宏观经济预测作用  

The Term Structure of Interest Rate as A Predictor of Macro-Economic Growth

作　　者：姜再勇[1] 李宏瑾[1] 

机构地区：[1]中国人民银行营业管理部

出　　处：《金融评论》2013年第3期72-83,125,共12页Chinese Review of Financial Studies

基　　金：国家社科基金重点项目“利率市场化改革与利率调控体系”(12AZD038);国家自科基金面上项目“物价水平的决定机制及货币财政政策协调”(71173233)的资助

摘　　要：本文对中国利率期限结构的宏观经济预测作用进行了检验,结果表明国债即期收益率长短期名义利差对GDP、工业增加值等宏观经济变量具有良好的预测作用。在考虑货币政策因素后,利率期限结构包含了未来两年左右的经济增长的信息,对宏观经济的预测效果要远远好于PMI等传统经济景气和经济预期调查指标,说明利率期限结构的宏观经济预测作用是非常稳健可靠的。利率期限结构是良好的宏观经济指示器,对准确判断经济走势,把握政策方向和节奏,具有非常重要的意义。The forecast ability of term structure is tested in this paper with the data of interbank treasury yield curve.The results show that the slope of yield curve(the spread of nominal long and short rates) is positively associated with future GDP growth as well as industry value added.The predictive power is even enhanced considering monetary policy and outperforms traditional prosperity and survey indices,such as PMI,which means the predictive power of yield curve is robust and credible.The information in the slope is a good macro-economic indicator for judging economic and policy trends.

关 键 词：利率期限结构 收益率曲线 宏观经济 预测 

分 类 号：F822.0[经济管理—财政学]