我国国债市场的通胀预期研究——基于宏观金融仿射无套利期限结构模型

Research on the Inflation Expectations Hidden within Government Bonds:An Analysis Based on the Affine No-arbitrage Term Structure Model

用宏观金融模型中的仿射无套利期限结构法对国债收益数据建模,分解出不同期限的预期和溢价成分。通过对各期限通胀预期与储户调查预期和朗润预期对比研究,认为分解出的短期和中期预期与通胀率和朗润预期有较高相关性,且和通胀率演化路径高度一致;中短期预期的事前和事后预测能力优于朗润预期,长期预期略逊于朗润预期;储户预期的预测能力较差。三类预期都不是理性预期且数值上有差异,分解出的中短期预期可优先作为决策的参考。

Based on the affine no-arbitrage term structure model which is one of the macro-financial model we decompose interest rate curve of government bonds into inflation expectation and premium.By comparing the different terms inflation expectations with the investigation expectations in People＇s Bank of China and LANGRUN forecasting,we find that the evolutionary path of the short and medium term expectations is highly consistent with real inflation,they have higher correlation with inflation and LANGRUN expectation.The short term and medium term expectations have the better predictive power of ex ante and ex post than LANGRUN forecasting,but the long term is the same as LANGRUN,meanwhile the investigation expectations is in last place.All the three kinds of expectations are not the rational expectations and have different value each other,here our short and medium term expectations can jointly provide a reference for decision-making.