我国居民通胀预期的测度:基于银行间债券市场数据的方法

A Measurement of Residents' Inflation Expectations in China:Evidence from the Data of Inter-bank Bond Market

通胀预期测度是通胀预期管理的前提。文章基于通货膨胀持久性特征,在无套利假设下,将实际通胀率这一宏观变量纳入传统的因子模型中,并运用银行间债券市场收益率数据对我国居民通胀预期进行了估计,结果显示我国居民通胀预期并不完全满足理性预期假设,而是与实际通胀之间存在有规律的系统性偏差,短期实际利率的变动是造成偏差的主要原因。文章认为通过强化货币政策前瞻性可以消除这种偏差,从而抑制实际通货膨胀水平。

The measurement of inflation expectation is a prerequisite for inflation expectation management.Based on the persistence of inflation,this paper incorporates real inflation rate into traditional factor model under the no-arbitrage assumption,and estimates the residents＇ inflation expectations in China by using the data of inter-bank bond market.It shows that the residents＇ inflation expectations in China do not completely satisfy the assumption of rational expectations and deviate regularly and systematically from actual inflation owing to the change in short-term real interest rate.It proposes that to strengthen the perspective function of money policy can help to eliminate the deviation and curb actual inflation.