银行间债券市场国债利率期限结构与通货膨胀预测

Interbank Bonds Market Treasury Rate Term Structure and Inflation Predict

国外已有实证研究证明利率期限结构具有预测未来通货膨胀率的作用,本文采用我国银行间债券市场国债交易数据,对Mishkin模型和扩展的Mishkin模型进行实证分析,研究了不同期限的名义利率差与通货膨胀率的关系。结果发现:9个月与3个月的国债到期收益率之差与2年期与6个月的国债收益率之差含有一定的未来通货膨胀的信息,其他期限的国债收益率之差则不能用来预测未来通货膨胀。这表明,我国银行间债券市场国债利率期限结构可以作为央行制定货币政策的辅助工具。

Some oversea studies have proved that the term structure of interest rates contains abundant information of future inflation changes.In this paper,we used exchange data of China＇s treasury bonds in Interbank Bonds Market.We analyzed the term structure＇s predictive ability for the future inflation changes based on the Mishkin model and the extended Mishkin model.The results show that both the subtraction between nine-month and three-month treasury bond yield and that between two-year and the six-month treasury bond yield had the predictive power.So the term structure can be used as an auxiliary tool when the central bank making monetary policies.