利率期限结构对通货膨胀预测能力的实证分析

An empirical analysis of the interest rate term structure's inflation-predicting ability

国外的研究表明,利率期限结构对一国的通货膨胀率具有一定程度的预测能力。那么,在我国,利率期限结构是否隐含了未来通货膨胀的信息,央行又能否使用利率期限结构作为制定和度量货币政策的依据呢?本文通过银行间债券市场的收益率数据拟合得到的利率期限结构,分三个步骤对此进行了验证。

Overseas research has shown the interest rate term structure＇s ability to predict inflation. Does the interest rate term structure suggest the return of inflation in China？ Or is it possible for the central bank to adopt interest rate term structure as a yardstick for making and evaluating monetary policy？ This paper verifies these questions in three steps by means of simulated term structure derived from the interbank bond market＇s yield data.