期限溢价、超额收益与宏观风险不确定性——基于银行间国债市场的分析

Term Premium,Excess Return and the Macro Risk Uncertainty ——Analysis Based on the Interbank Bond Market

本文使用无套利宏观金融模型对银行间市场国债期限溢价和超额收益进行实证研究。在对期限溢价和超额收益的估计中发现,无论从幅值还是相关性看期限溢价均无法作为超额收益的有效预期。对期限溢价动态特征分析的结果表明,通胀增长率、经济波动以及货币政策冲击虽然能造成期限溢价的短期波动,但长期内并不会使溢价水平发生偏移。溢价水平取决于市场预期的不确定性程度,这是本文对期限溢价形成和波动机理的一种新的解释。

This paper estimates the inter-bank bond market monthly premium and excess return data using No-arbitrage Macro-financial Model. In the analysis of static characteris- tics of the term premium, it exhibits that the expectation theory does not hold from the am- plitude comparison and correlation analysis between term premium and eXcess return. In the analysis of dynamic characteristics of the term premium, there is only short-term influence to term premium of impulse shock form inflation growth, economic fluctuation and the monetary policy. In view of this, we give a new theory interpretation of term premium that the equilibrium level of term premium only depending on the degree of the market expecta- tion uncertainty.