利率期限结构中的隐含信息:基于非张成因子的研究

Implied Information in the Interest Rate Term Structure:A Study Based on the Unspanned Factor

主流的宏观金融模型都假定经济因子会作为定价因子完全反映在利率曲线的横截面上,所有经济变量信息那可以被利率曲线张成,这往往与经济直觉相悖.在国内外非张成因子研究的基础上,该文深入探索中国利率期限结构中的非张成因子,通过回归和自举法,发现反映经济增长的工业增加值同比在实证上具有统计显著性,并在实证检验的基础上进行模型和理论创新,构造具有隐含非张成因子和通胀状态因子的非张成利率期限结构模型,并基于非张成因子对名义利率进行分解、提取隐含信息。进一步地,通过模型估计和比较,发现该文模型具有较好的解释性,通过该文模型提取的实际利率、通胀预期、期限溢酬等隐含信息,有助于解释“格林斯潘之谜”,进而有效管理和应对“格林斯潘之谜”.

Mainstream macro-finance models assume that economic factors are fully reflected in the cross-section of the yield curve as pricing factors,and that all information,on economic variables can be spanned by the yield curve,which is often contrary to economic intuition.On the basis of the research on unspanned factor at home and abroad,this paper deeply explores the unspanned factors in the interest rates term strueture in China,and finds that the industrial added value reflecting economic growth is statistically significant through regression,and bootstrap methods.On the basis of empirical test,the model and theore tical innovation are carried out to construet the unspanned model with hidden unspanned factor and inflation factor.Furthermore,this paper decomposes the nominal interest rate and exacts the implied information based on the unspanned factor.Furthermore,through model estimation and comparison,it is found that the model has a better explanatory power,and the implied information extracted from the model,such as real interest rate,inflation expectations and term prerniums,helps to explain the"Greenspan's conundrum",and is useful to manage and deal with the"Greenspan's conundrum".