中国通货膨胀预期及其影响因素分析——基于混频无套利Nelson-Siegel利率期限结构扩展模型  

Analysis of Inflation Expectations in China and Their Determinants:Based on a Mixed Frequency No-arbitrage Nelson-Siegel Extended Model

作　　者：洪智武 牛霖琳 HONG Zhiwu;NIU Linlin(The Wang Yanan Institute for Studies in Economics,Xiamen University)

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》2020年第12期95-113,共19页Journal of Financial Research

基　　金：国家自然科学基金项目71871193、72033008、71988101;高等学校学科创新引智计划资助B13028的支持。

摘　　要：综合国债市场的利率期限结构信息以及不同频率的宏观信息,本文构建混频无套利Nelson-Siegel利率期限结构扩展模型,在对不同期限债券进行一致性定价理论约束下,提取了中国通货膨胀预期的期限结构并对其进行影响因素分析。研究结果表明,本文模型提取的通胀预期期限丰富、结果稳健,具有较好的参考价值。通胀预期水平和变动响应主要受货币增长率、通胀率及全球食品价格变动等国内外相关宏观变量的影响,与国债收益率因子之间的关系不显著;国债收益率因子对中长期通胀预期的方差波动具有较强解释力,表明国债定价反映了未来通胀的不确定性。本文研究有助于充分利用我国宏观与金融市场信息条件,有效发现和锚定通胀预期,一方面,研究结果可为政策制定者和市场投资者提供科学的决策参考,另一方面,研究方法对丰富宏观金融领域的分析框架具有参考价值。Stabilizing inflation expectations is a prerequisite for the effective implementation of monetary policy.Scientifically measuring inflation expectations and analyzing the influencing factors are fundamental to the effective management of the macroeconomy and financial markets for investors,entrepreneurs,and policy makers.Both domestic and international economic and policy environments have recently changed drastically,particularly due to the 2020 COVID-19 pandemic,which is ongoing at the time of writing.A balance must be struck between the prevention and control of the pandemic and the development of the domestic economy.Inflation components such as industrial product prices and food prices have become structurally differentiated.Thus,accurately capturing the degree of inflation expectations and their changes attracts extensive attention from market investors and policy makers.Chinese scholars take two main approaches to exploring the nature,management,and determinants of inflation expectations.The first approach is to extract information on inflation expectations from modeling yield data and the actual inflation rate,but this ignores the influence of many macro factors and the underlying mechanisms.Quarterly frequency data can also be considered,but this approach is limited by the availability of low-frequency macro data.To utilize data more efficiently,we construct a mixed frequency no-arbitrage Nelson-Siegel(NS)extended model that jointly models the yield factors and macro variables of different frequencies under theoretical consistency,decomposing information on inflation expectations with various maturities from the Treasury yield curve.Our study makes two main novel contributions to the literature.First,we theoretically derive a mixed frequency no-arbitrage NS extended model containing GDP growth and other macro variables.The model has the characteristics of theoretical consistency and information efficiency.Under the theoretical constraint of consistent pricing of bonds of different maturities,we extract t

关 键 词：通胀预期 混频建模 无套利Nelson-Siegel利率期限结构模型 

分 类 号：F822.5[经济管理—财政学]