国债期限利差对中国宏观经济波动的预警研究

A Study on Early Warning of China's Macroeconomic Fluctuation Based on Term Spreads

利用动态因子模型构建SW景气指数,通过计算多组长期利率和短期利率的利差与SW景气指数的时差相关系数,选择15年期与2年期国债即期收益率利差作为转换变量构建STR模型,以期限利差作为转换变量考察其对我国宏观经济波动的预警作用。实证结果表明,利差对中国宏观经济波动具有可靠的预警作用。基于本文的模型进行样本外预测,发现中国经济将缓慢复苏,但依然处于经济紧缩阶段。因此,中国应当继续实行积极的财政政策和稳健的货币政策,以保障经济平稳增长。

By using the dynamic factor model to build the SW index, this paper calculates the correlation coefficient between the long-term interest rates as well as the short -term interest rates and the SW index,and then constructs STR model by taking the 15 -year and 2-year bond yield difference as conversion variable and the term spreads＇early warning of Chinag spreads as transition variable to examine the term c fluctuations. The empirical analysis demonstrates that term spreads can be a reliable early warning indicator of Chinag c fluctuation. Then an out-of-sample forecast is made, and it states that China＇s economy is recovering slowly, but still in the economic contraction phase. Thus, the Chinese government should continue its proactive fiscal policy and prudent monetary policy to maintain its steady economy growth.