中国利率期限结构对经济周期波动的预测能力检验——基于动态Probit模型的研究途径

Tests for Predict Capability of Interest Rate Term Structure to the Business Cycle in China——An Analysis with Dynamic Probit Models

本文对我国利率期限结构对经济周期波动的预测能力进行实证研究。首先,利用时差相关分析方法选择我国经济周期波动的利差先行指标。然后,利用基于利差先行指标的动态Probit模型检验我国利率期限结构对经济周期波动状态的预测能力,并且对静态Probit模型和动态Probit模型、各种动态Probit模型之间的预测效果也进行了比较。研究结果表明,我国利率期限结构变动对未来3个月的经济周期波动状态具有比较稳定的指示作用,利用经济状态先验信息的动态Probit模型的预测效果优于静态Probit模型。

In this paper, we research the relationship of the interest rate term structure and the fluctuation of business cycle in China. First, we use the cross correlation analysis to select the spread economic leading indicator of business cy- cle in China. Then, we use the dynamic probit models of the spread economic leading indicator to test the predictive capa- bility of the term structure of interest rates to business cycle in China, and compare the predict perform of static probit models and dynamic Probit models, the prediction effect among all kinds of dynamic Probit models. The research indicates the fluctuation of the rate term structure has the steady indication function to the fluctuation of business cycle in three months in China, and the dynamic probit models which consider the economy state before the predicted time have better predicting perform than the static Probit model