期刊文献+

仿射利率期限结构模型与中国宏观经济预期 被引量:7

下载PDF
导出
摘要 本文在仿射模型中推导出预期宏观经济变化和利率期限结构的仿射关系,并在三因子模型中进行实证检验。实证结果显示,无套利利率期限结构模型好于简单的利差方法,能够显著提高对宏观经济的预测能力。三因子模型对近期消费和通货膨胀的变化具有更高的解释能力,对投资、产出和出口的解释能力长期有效。
出处 《金融与经济》 北大核心 2011年第4期10-14,共5页 Finance and Economy
基金 国家自然科学基金项目(批准号:71003005)资助
  • 相关文献

参考文献18

  • 1Kessel, R.(1965). The cyclical behavior of the term structure of interest rates. Occasional paper No. 91, National Bureau of Economic Research, Cambridge Mass.
  • 2Harvey, C.R.. The real term structure and co- nsumption growth [J]. Journal of Financial Economics, (1988)22:305-334.
  • 3Harvey, C.R. (1989). Forecasts of economic growth from the bond and stock markets[J]. Financial Analysts Journal, September/October, 38-45.
  • 4Harvey, C.R. (1991). The term structure and world economic growth[J]. Journal of Fixed Income, 1, 4-17.
  • 5Harvey, C.R. (1993). Term structure forecasts economic growth [J]. Financial Analysts Journal, May/ June, 6-8.
  • 6Estrella, A. and G.A. Hardouvelis (1991). The term structure as a predictor of real economic activity [J]. Journal of Finance, 46:555-576.
  • 7Plosser, C.I. and K.G. Rouwenhorst (1994).In- ternational term structures and real economic growth [J]. Journal of Monetary Economics, 33:133-155.
  • 8Chapman, D.A. (1997).The cyclical properties of consumption growth and the real term structure [J]. Journal of Monetary Economics, 39:145-172.
  • 9Kamara, A. (1997). The relation between defa- ult-free interest rates and expected economic growth is stronger than you think [J]. Journal of Finance, 52: 1681-1694.
  • 10Estrella A , Mishkin F S (1997). The predic- tive power of the term structure of interest rates in Europe and the United States : Implications for the European Central Bank [J].European Economic Review, 41:1375- 1401.

二级参考文献24

  • 1胡海鹏,方兆本.利率期限结构形成的理论分析与实证检验[J].中国科学技术大学学报,2006,36(12):1266-1274. 被引量:8
  • 2刘金全,王勇,张鹤.利率期限结构与宏观经济因素的动态相依性——基于VAR模型的经验研究[J].财经研究,2007,33(5):126-133. 被引量:58
  • 3于鑫.交易所国债回购利率期限结构研究[J].证券市场导报,2007(6):25-29. 被引量:5
  • 4.《中国人民银行统计季报》[Z].,2004—4..
  • 5《经济景气统计月报》.
  • 6Ang, A. and Piazzesi, M. "A No-arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables. " Journal of Monetary Economics, 2003, pp. 745 - 7g7.
  • 7Ang, A.j. ; Piazzesi, M. and Wei, M. "What Does the Yield Curve Tell us About GDP Growth?" Working paper, Andersen school, UCLA, 2003.
  • 8Balduzzi, P. ; Bertola, G. and Foresi, S. "A Model of Target Changes and the Term Structure of Interest Rates. " Journal of Monetary Economics, 1997, 39, pp. 223-249.
  • 9Duffie,. D. and Kan, R. "A Yield Factor Model of Interest Rates. "Mathematical Finance, 1996, 6, pp. 379 -406.
  • 10Estrella, A. and Mishkin, F. S.“The Predictive Power of the Term Structure of Interest Rates in Europe and the United States: Implications for the European Central Bank .” European Economics Review, 1997, 41, pp. 1375 -1401.

共引文献88

同被引文献67

引证文献7

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部