针对宏观经济与利率预期的实时估计:基于债券与股票市场联动的高频识别方法  

Real-time Estimation of Macroeconomic and Interest Rate Expectations:A High-Frequency Identification Method Based on the Interactions Between Bond and Stock Markets

作　　者：王熙 汪子健 韩博昱 Wang Xi;Wang Zijian;Hanboyu

机构地区：[1]北京大学经济学院 [2]明尼苏达大学工业与系统工程系

出　　处：《投资研究》2024年第9期24-42,共19页Review of Investment Studies

基　　金：到国家社会科学基金项目(23BJL025);北京市社会科学基金项目(21JCC082)的资助。

摘　　要：本文基于现代资产定价理论,从债券市场与股票市场的联动关系出发,针对识别了四类经济冲击:经济增长预期冲击、货币政策冲击、对冲风险溢价因子冲击和正常风险溢价因子冲击,进而生成上述冲击的日度高频估计序列。实证结果表明,本文估计的经济增长预期冲击因子和货币政策冲击因子不仅对我国股票与债券价格的影响方向与理论预期一致,而且对未来宏观经济状况和市场利率具有良好的预测能力。这些指标能够作为反映市场对经济和利率走势的有效估计工具,有助于监管当局以更高频率实现对社会预期的实时监测。In this paper,we delve into the nexus between the bond and stock markets through the lens of contemporary asset pricing theory.Our analysis uncovers four distinct types of shocks in China:economic growth expectation shocks,monetary policy shocks,hedging risk premium factor shocks,and normal risk premium factor shocks.Our empirical findings suggest that the factors associated with economic growth expectations and monetary policy not only align with theoretical predictions but also possess a robust predictive ability for future macroeconomic trends and market interest rates.These factors,therefore,serve as potent indicators of market sentiment towards economic and interest rate prospects,facilitating real-time monitoring of social expectations at a higher frequency.

关 键 词：经济预期 货币政策预期 债券与股票市场联动 

分 类 号：F124[经济管理—世界经济] F832.51