中国金融市场通胀预期——基于利率期限结构的量度

Inflation Expectations of the Chinese Financial Market:Measurement Based on Interest Rate Term Structure

通胀预期量度在以通胀预期为导向的货币政策中的意义重大。本文利用卡尔曼滤波法将离散时间两因子无套利广义高斯仿射模型运用于我国银行间债券市场,第一次从中国国债收益率曲线中分解出金融市场的中长期通胀预期L。将L与居民通胀预期和经济学家通胀预期比较,发现从事前看,L优于经济学家通胀预期,稍逊于居民通胀预期;从事后看,L优于居民通胀预期,稍逊于经济学家通胀预期。综合看,L作为金融市场形成的、高频的、反映中长期通胀的预期指数,对货币政策制定具有现实的参考意义。

Inflation expectations measurement is of great importance in the inflation-expectation-oriented monetary policy framework. By applying Kalman filter with the discrete two-factor general non-arbitrage Gaussian Af- fine model to the Chinese inter-bank bond market, this paper derives the mid-to-long term inflation expectations of the financial market （L） from the yield curve of Chinese treasury bonds. By comparing L with the household inflation expectation and the economist inflation expectation, the authors noted that L is better than the economist inflation expectations while is inferior to the household inflation expectations, in ex ante terms. In the mean time, L is better than the household inflation expectations, while is inferior to the economist inflation expectations, in ex post terms. As a whole, as a frequent, mid-to-long term inflation expectations index formed in the financial market, L is a useful reference for monetary policy makers.