理性预期还是适应性预期：基于同业拆借市场的检验

On Rational Expectation or Adaptive Expectation: Tests Based on Inter-Bank Short-term Loan Market

预期的形式决定了经济主体的前瞻性行为,是宏观经济调控必须考虑的微观行为基础。基于包含流动性溢价的利率期限结构理论,利用我国同业拆借市场的日利率数据,分别对市场理性预期和适应性预期两种假设进行实证检验发现,我国利率期限结构模型的市场预期符合适应性预期假设,而理性预期假设没有通过显著性检验,结论支持了基于适应性预期形式的经济政策分析。

The form of economy expectation determines predictive behavior of economic agent and thus serves as a mi cro-foundation of macro control.Based on interest-rate term structure theory concerning premium risk,the pa per differentiates the interest-rate term structure models under rational expectation and adaptive expectation.And then,using daily interest rate data of China’s inter-bank loan market,empirical tests are implemented under rational expectation and adaptive expectation respectively.It ’s shown that the market expectation conforms to the adaptive expectation,while the rational expectation hypothesis fails in the significant test.Those results highlight the economic policy analysis under the adaptive expectation form.