基于门限回归模型的利率期限结构预期假说分析

Analysis of Expected Hypothesis of Term Structure of Interest Rate based on Threshold Return Model

利率期限结构的预期假说是否成立在中国债券市场上至今仍无定论。采用2002年2月至2006年10月的月度数据,运用门限回归模型分析通货膨胀与我国债券市场上的利率期限结构预期假说存在的关系,实证结果表明,通货膨胀确实能够影响预期假说的成立,并且通胀门限值为3.9。进一步得出,低通胀条件下,预期假说成立;高通胀条件下,预期假说不成立。这说明央行在制定货币政策和推进利率市场化改革过程中需要审时度势,根据现有通货膨胀情况有效制定货币政策以稳定宏观经济运行。

It is still inconclusive whether the expected hypothesis of interest rate term structure is established in the Chinese bond market. Using the monthly data from Feb. 2002 to Oct. 2006, this paper analyzed the relationship between inflation and the expected hypothesis of interest rate term structure in the Chinese bond market by threshold regression model. The empirical result showed that inflation could affect the establishment of expected hypothesis indeed, and the inflation threshold was3.9. Furthermore, the authors made a conclusion that expected hypothesis was established with low inflation condition and not with high inflation condition. This result showed that the central bank should judge the situation when it formulated monetary policy and pushed interest rate marketization reform,refer to the current inflation condition to formulate monetary policy effectively to stable macroeconomic operation.