稳预期,消除利差收窄的“噪音”恐慌--基于美债期限利差经济预测力的实证分析

Stabilize Market Expectations, Eliminating the Investor Panic Over Term Spread Noise--Empirical Analysis of the Predictive Power of US Bond Term Spread on the Economic

期限利差收窄导致收益率曲线倒挂引发经济衰退的预判,其究竟是"噪音"还是"信号"是当前美债利率曲线形态的热点研究问题。本文选择2年期和10年期美国国债期限利差作为冲击变量,对市场恐慌情绪(VIX)、金融周期变量(股指)和经济周期变量(工业增加值)采用TVP-VAR和RD模型的研究方法进行实证验证。结论和建议:(1)各变量的时变冲击效应否定了期限利差的经济预测力,不能作为衰退"信号";(2)弱化利差收窄与"衰退"因果关系有助于稳定市场预期,剔除"噪音"有助于消除恐慌产生的负面影响。

The shape of yield curve has been recognized as a leading indicator of the economic cycle, which historically cause investor concern over recession in an inverted yield curve environment. By selecting 2-year and 10-year US treasury term spread as independent variable, with VIX as measurement of market sentiment,Stock Index as gauge of financial cycle and IVA as as gauge of business cycle, this paper adopts TVP-VAR and RD models research method to prove that the term interest rate cannot be used as the predictor of economic crisis and to recommend that the market participants should be relax on the warning sign sent by the narrowing(inverted) term spread, and stop being panic over the potential recession.