基于理性期望的利率期限结构预期理论与期限溢酬

Study on the Expectation Hypotheses Theory of Term Structure and Term Premiums Based on Rational Expectation

推导了两种检验期限结构预期理论的方法。指出基于这些回归方程来检验预期理论,实际上是对理性期望、期限结构预期理论和期限溢酬不变的联合检验,实证研究中对预期理论的拒绝可能是由于未考虑到期限溢酬的时变性。在此基础上,基于Kalman滤波的期限溢酬估计模型,提出了一个利用即期利率数据。利用上海证券交易所国债交易数据对该模型进行实证研究,分析了该市场期限溢酬的行为特征。

In this paper, firstly we deduct the two regression equations which are used to test the expectation hypotheses of the term structure of interest rate and point out that the regression test is actually to test the joint hypotheses of rational expectation, the expectation hypotheses of term structure and the invariant of term premiums. The reason why so many tests reject the expectation hypotheses might be no consideration of the variant of the term premiums. Based on this explanation, the authors then put forward a model to estimate the unobservable term premiums with the spot rate data based on the Kalman filter At last the authors make some empirical study to the government bonds listed in the Shanghai Stock Exchange and analyze the characteristics of the behavior of the term premiums underlying this market.