我国中期通货膨胀压力预测——基于银行间市场国债收益率曲线的经验研究

Forecast on China’s Mid-term Inflation Pressure:Empirical Study Based on the Inter-bank Bond Yield Curve

本文对我国银行间市场3-5年中期收益率曲线的通货膨胀预测能力进行了经验研究,发现与短期收益率曲线相比,较长期的利率期限结构包含了更多未来通货膨胀变化的信息,因而可以作为通货膨胀预测的指示器;我国实际利率也不是稳定的,名义利率期限结构包含了实际利率变动的重要信息。虽然2008年的全球金融危机有效缓解了通货膨胀压力,但在大规模扩张性财政政策和货币政策作用下,市场仍存在较强通货膨胀预期,未来3-4年内我国仍然存在较大通货膨胀压力。

The inflation forecast ability of the mid-term structure of interest rates is tested in this paper.The results show that,compared to the short-term structure,China’s longer-term interest rate structure contains even more information of future inflation changes,and can be used as a good inflation forecast indicator.China’s real interest rate is not constant,and the nominal interest rate structure contains the information of real rate changes.Although the global financial crisis in 2008 effectively moderated the inflation pressure,considering the influences of the expansionary economic stimulus policy,there are still strong inflation expectations in the market,and China will face high inflation pressure in the next 3 to 4 years.