我国利率期限结构对宏观经济有预测能力吗

Is Term Structure of Interest Rates Capable of Predicting Macroeconomy?

利率期限结构包含着丰富的经济含义,其形状蕴含着投资者对未来经济增长和通货膨胀的预期。笔者使用我国银行间国债市场利率期限结构中不同期限的利率差作为预测因子建立三类模型,并与基准模型进行比较,发现10年期与3年期利差对经济增长的预测能力最强,且预测步长为未来4个月;10年期与7年期利率差对未来3个月的通货膨胀预测能力最强。同时得出结论,在我国利率差增大预示着未来经济的增长,同时也预示着未来的通货膨胀率增大。

The yield curve contains abundant information about future economic growth and future rate of inflation. Using the spread with different maturities as the independent variable, this paper established three models and found that the spread between the ten-year and the three-year Treasury bond was the most useful predictor of economic growth with a horizon of four months in the future, and the spread between the ten-year and the seven-year Treasury bond had the most significant predictive power for the inflation up to future three months, by comparing with the benchmark model. In addition, the increase of the term spread was associated with the raise of future economic grow and the inflation rate.