基于协整理论的利率期限结构预期假说检验

Test of Expectation Hypothesis of the Interest Rate Structure Based on Co-integration Theory

本文通过协整分析方法,对我国利率期限结构的预期假说进行了检验。结果表明,各期限国债利率存在着长期均衡的协整关系,从而支持了利率期限结构的预期假说。不同期限利率通过短期动态调整的误差修正机制,实现了稳定的长期均衡关系。经验研究还发现,隔夜及1月期短端利率始终是其他各期限利率的Granger原因,反之则不成立。这为我国货币政策由数量调控向利率价格引导模式的转变,提供了理论支持。

Based on the co-integration theory, the expectation theory of the interest rate structure is tested in this paper. The re- sult shows that there are long run equilibrium co-integration relationships between yields of different maturity, which support the expectation hypothesis of the interest rate structure. With the short run adjustment of the error correction mechanism, inter- est rates react on deviations from the equilibriums. The empirical analysis also shows the interest rates of overnight and 1 month are the granger causes of other maturity rates, while the opposite are not the case. This provides a theoretical support for the transition of Chinese monetary policy operation framework from the quantitative based to the pricing-adjustments mode.