我国利率期限结构预期假设的实证研究

Empirical Study on the Expectations Hypothesis of the Term Structure of Interest Rate

从长期利率的短期变化和短期利率的长期变化两个角度提出利率期限结构预期假设检验的理论框架,并对我国市场进行了实证检验。检验基于Nelson-Siegel扩展模型估计的几个主要期限的利率。在实证检验前,对利率时间序列的平稳性进行了分析。在实证检验中,考虑了抽样间隔和预测间隔不一致而导致的数据重合问题。检验结果表明,我国利率期限结构的预期假设检验出现了“预期迷惑”现象,我国长期利率对市场冲击发生过度反应,利率期限结构预期假设不成立。

Basing on the short-term change of long-term rates and the long-term change of short-term rates, a framework for the test of the expectations hypothesis of the term structure of interest rates in China is put forward and empirically studied. The study bases on the some main rates gained from the Nelson-Siegel extension model. Before the study, stationarity of interest rates are analyzed. In the empirical test, data overlapping induced by the difference of the sample interval and forecast interval is considered. The empirical test results show that there is ＂expectation puzzle＂ in the test, long-term rates overact to the market shock, and so the expectations hypothesis cannot hold in China.