国债收益率曲线的宏观预测能力检验——基于Probit模型

本文对我国国债收益率曲线的宏观经济变量预测能力进行实证检验。首先,通过Nelson-Siegel模型测算我国国债收益率曲线的水平因子、斜率因子及曲率因子;其次,利用Probit模型检验收益率曲线的三个因子对我国宏观经济周期波动及通货膨胀率的预测能力。研究结果表明,国债收益率曲线的三个因子对未来宏观经济周期有较好的预测作用,但对未来通货膨胀率无法进行有效预测。     

中国债券收益率曲线对经济增长的预测能力分析

债券收益率会影响投资行为并进一步作用于一国的经济增长水平。本文在分析我国固定资产投资资金来源的基础上,探讨其与债券收益率曲线的关系,并通过实证方法研究了我国债券的收益率曲线对经济增长的预测能力。研究发现,我国债券的收益率曲线对名义经济增长率具有显著的预测能力,但对实际经济增长率的预测能力有限。本文指出,银行信贷在我国经济增长中的核心作用以及信贷利率的外生性是造成上述现象的根本原因。     

债券市场利率期限结构的信息价值——银行间市场与交易所市场比较研究北大核心CSSCI

本文基于非线性STR模型,研究全市场、银行间市场和交易所市场收益率曲线三因子与未来经济增速、通货膨胀的非线性关系。研究发现:全市场利率期限结构与未来经济增速之间存在非线性关系;银行间债券市场比交易所债券市场与宏观经济变量有更明显的非线性关系;银行间固定利率国债收益率曲线比中国固定利率国债收益率曲线更能预测未来经济增长变化和通货膨胀情况,且对经济增速的预示作用强于通货膨胀。     

中国股票市场的已实现偏度与收益率预测

利用高频股票指数数据,本文构造了中国股票市场的已实现偏度,并检验了其对中国股票市场收益率的预测能力。实证结果显示,当前较低的已实现偏度可以显著预测下个月中国股票市场较高的超额收益率,样本内和样本外的R²分别达到了3.39%和2.24%。在控制了一系列的其它股票预测变量之后,该结论依然成立。此外,基于四种不同的构造方法,已实现偏度对上海和深圳两个股票市场都具有显著的预测能力。在将所有不同的已实现偏度指标进行组合之后,预测能力得到了进一步提升。从经济解释上,本文发现已实现偏度对股票收益率的预测能力是通过影响股票市场的交易活跃程度,从而传导到股票市场收益率。     

中央银行基准债券收益率曲线的构建——基于货币政策调控的视角

本文在研究国外央行、国内其他机构构建债券即期收益率曲线的基础上,运用Nelson-Siegel拟合法构建了基于中央银行货币政策调控需要的国债即期收益率曲线,并利用所构建收益率曲线的水平因子和倾斜因子,与宏观经济和货币政策相关变量进行了实证分析。研究表明：我国国债收益率曲线与CPI存在一定的相关性,且收益率曲线的斜率是CPI的先行指标,包含了通货膨胀走势的前瞻性信息;中央银行公开市场操作、法定存款准备金率和定期存款利率的调整均对国债收益率曲线的位置和斜率产生一定程度的影响。关键词：中央银行债券收益率曲线货币政策调控。     

国债收益率曲线预测未来通胀变化的信息价值研究

利率期限结构具有预测未来通货膨胀率变化的信息价值,这在国外的大量研究中已得到肯定。本文采用NSS模型估计了我国上海证券交易所的国债收益率曲线,并采用Mishkin模型和扩展的Mishkin模型,实证分析了上交所国债收益率曲线对未来通货膨胀率变化的预测能力,并研究了不同期限的国债收益率与通货膨胀率的关系。结果表明,上交所国债收益率曲线不具有预测未来通货膨胀率变化的信息价值,而且不同期限的国债收益率与当前的通货膨胀率存在很强的正相关,而与未来通货膨胀率的正相关很弱,甚至存在负相关。     

基于单指数模型的投资组合影响因素研究

本文研究在资产的收益率可预测或部分可预测的情况下,资产组合配置的问题。在确定投资组合权重时,资产收益率的期望和波动率是最重要的变量。本文首先寻找对资产收益率的期望和波动率最具有解释能力的预测变量,然后基于这些变量,利用单指数模型,直接探索预测变量和资产组合权重之间的关系。模型中的指数可以帮助投资者决定在做投资决策时各预测变量的重要程度。     

基于单指数模型的投资组合影响因素研究

本文研究在资产的收益率可预测或部分可预测的情况下,资产组合配置的问题.在确定投资组合权重时,资产收益率的期望和波动率是最重要的变量.本文首先寻找对资产收益率的期望和波动率最具有解释能力的预测变量,然后基于这些变量,利用单指数模型,直接探索预测变量和资产组合权重之间的关系.模型中的指数可以帮助投资者决定在做投资决策时各预测变量的重要程度.     

蝶式组合对中长端利差走势的预测作用及策略应用

当期的收益率曲线是否对未来的收益率曲线具有预测能力以及如何利用利率曲线构建策略组合,前期已有众多研究者进行了探讨。本文试图从蝶式组合的期初构建成本（“收益率让步”）角度出发,对上述问题提出一个解决思路。通过泰勒展开,可以将收益率让步分解出两个来源,一是对利率曲线平坦化的预期,二是哑铃型组合能从利率曲线波动中获得更大收益。本文主要探讨收益率让步的第一个来源。理论上期初的收益率让步可以预测未来中长期利差的变化,但经过检验表明,用这一预测方法效果不佳。此外,我们设计了一个极端值反向操作策略,即当期初的收益率让步极高或极低时,最终实现的利差变化无法抹平期初的收益率差异,由此来构建组合。后验结果表明,极端值反向操作策略在剔除了特殊时期后有较好的表现,但它可能不适用于经济环境、货币政策和金融市场变化较大的极端情境。     

美国国债收益率曲线倒挂与经济前景展

美国债收益率曲线自2018年底走平到目前出现的倒挂现象引发了市场和政策当局 的广泛关注。本文首先从收益率曲线的基本概念出发,回顾了历史上美国债券收益率曲线和经 济衰退之间的关系。研究发现,美国国债收益率曲线倒挂是预测美国经济衰退的一个较为可 靠的先行指标。然而,由于危机以来美联储货币政策操作模式已发生显著变化,此次收益率曲 线倒挂尽管仍可作为预测美国经济衰退的重要参考指标,但在可靠程度上可能会面临较大不 确定性。同时,又因美国目前的经济基本面总体向好,因此短期内发生经济衰退的可能性并不 大。最后,由于目前特朗普政府政策对美联储货币政策立场存在倒逼机制,因此未来政府政策 的不确定性或将成为左右美国经济走向的关键因素。     

人口学特征与利率期限结构:老年社会平缓的收益率曲线

本文将刻画人口结构的生命周期模型引入消费-资本资产定价模型,考察人口结构对利率期限结构的影响。模型表明,人口结构及其家庭生命周期特征不仅决定利率水平,而且将通过人对债券期限的不同偏好,影响利率期限结构。少年人口占比对利率期限结构的影响为正,中年和老年人口占比的影响为负。相比少年人口,中老年人口更偏好长期债券,使长期收益率下降,期限结构的斜率更为平缓。基于全球数据的经验研究验证了这一结论。少年人口占比增加期限利差,中老年人口占比则起反向作用。因此,在年长的经济体中,期限利差更小,呈现更平缓的收益率曲线特征。在更换人口结构变量、期限利差变量、估计方法、赋权样本和处理遗漏变量后,结果表现稳健。本文从人口学视角拓宽了利率期限结构的决定因素,揭示了老年经济体可能面临一个平缓的收益率曲线,而这说明老龄化还可能通过抑制短期投机和促进长期投资来提高长期经济发展质量。     

Collateral constraints and macroeconomic asymmetries

Full information methods are used to estimate a nonlinear general equilibrium model where occasionally binding collateral constraints on housing wealth drive an asymmetry in the link between housing prices and economic activity. The estimated model shows that, as collateral constraints became slack during the housing boom of 2001–2006, expanding housing wealth made a small contribution to consumption growth. By contrast, the housing collapse that followed tightened the constraints and sharply exacerbated the recession of 2007–2009. The empirical relevance of this asymmetry is corroborated by evidence from state- and MSA-level data.     

战后美国经济周期再考察

二战后美国经济周期波动发生显著变化。相比二战之前,美国经济周期扩张期拉长,衰退期缩短,二者之间形成剪刀差。经济周期长度、扩张期跨度和紧缩期跨度的离散度远远大于战前。二战后至今,美国经济中周期出现(朱格拉周期)呈拉长的趋势,扩张期远远长于衰退期,中周期(朱格拉周期)和短周期(基钦周期)的波幅经历了从小到大的阶段性变化。     

The Business Cycle Associated with Exchange Rate-Based Stabilizations

This article examines the effects of disinflation on economicactivity in countries characterized by chronic inflation. Suchcountries have a long history of inflation at rates exceedingthose in industrial countries as well as labor and capital marketsthat have adjusted to function in an inflationary environment.A sample of disinflation programs in several Latin Americancountries and in Israel demonstrates that stabilization effortsin countries with chronic inflation often do not induce theusual Phillips curve tradeoff in the medium run. Specifically,stabilization programs that use the exchange rate as the mainnominal anchor are often associated with a business cycle thatbegins with a boom and ends with a recession. Stabilizationprograms that use money supply as the nominal anchor generallyinduce the expected Phillips curve result: lower inflation isaccompanied by a recession after the program is implemented.     

Business Cycle and Management Earnings Forecasts

This study examines the effects of the economic cycle on the properties of management earnings forecasts. Although a large volume of accounting literature examines the determinants of managerial earnings forecasts, the properties of such forecasts, and the response of market participants to earnings forecasts (Cameron 1986; King et al., 1990; Hirst et al., 2008), research on management earnings forecasting incentivized by macro‐economic factors has received scant empirical investigation. We use the National Bureau of Economic Research economic cycle definition to operationalize economic recession, and consider some commonly used management earnings forecast characteristics, including forecast likelihood, forecast frequency, forecast error, forecast pessimism, and forecast precision. We find that the likelihood of providing management earnings forecasts and frequency of forecasts increases during economic recession. We also find that economic recession is positively associated with forecast error, but negatively associated with forecast precision. Our findings suggest macro‐economic factors as an important determinant of management earnings forecasts properties.     

Migration—The influence of economic change

Migration within England and Wales (and into and out of the UK) declined during the 1970s, reversing the 1960s trend towards increased mobility. The decline can be seen in up-to-date migration figures from the National Health Service Central Register, and is confirmed by other data sources. Associated changes in three economic factors (unemployment, personal income, and housing costs) suggest that the decrease in mobility was caused by the economic recession. The monitoring of these three factors may permit more accurate projection of further shifts in migration rates. Now that births roughly equal deaths, planning authorities require accurate migration estimates to help them to match population, services, and infrastructure.     

THE EFFECT OF MONETARY POLICY ON CREDIT SPREADS

We analyze the effect of monetary policy on yield spreads between corporate bonds with different credit ratings over the business cycle. We use futures contracts to distinguish between expected and unexpected changes in the Fed funds target rate and several indicators to distinguish between different phases of the business cycle. In line with the predictions of imperfect capital market theories, we find that yields on corporate bonds with low credit ratings widen (narrow) with respect to those with high credit ratings following an unexpected increase (decrease) in the Fed funds target rate during recession periods. Several tests suggest that our results are robust to outliers, potential endogeneity problems, empirical specification, control variables, countercyclical risk premium in futures, and alternative definitions of credit spreads and economic conditions.     

Foreclosure Delay and Consumer Credit Performance

The deep housing market recession from 2008 through 2010 was characterized by a steep rise in number of foreclosures. The average length of time from onset of delinquency through the end of the foreclosure process also expanded dramatically. Although most individuals undergoing foreclosure were experiencing serious financial stress, the extended foreclosure timelines enabled them to live in their homes without making mortgage payments until the end of the foreclosure process, thus providing temporary income and liquidity benefits from lower housing costs. This paper investigates the impact of extended foreclosure timelines on borrower performance with credit card debt. Our results indicate that a longer period of nonpayment of mortgage expenses results in higher cure rates on delinquent credit cards and reduced credit card balances. Thus, foreclosure process delays may have mitigated the impact of the economic downturn on credit card default—suggesting that improvement in credit card performance during the post-crisis period would likely be slowed by the removal of the temporary liquidity benefits as foreclosures reach completion.     

Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun

In this paper, we examine changes in the time series properties of three widely used housing market indicators (real house prices, price-to-income ratios, and price-to-rent ratios) for a large set of countries to detect episodes of explosive dynamics. Dating such episodes of exuberance in housing markets provides a timeline as well as empirical content to the narrative connecting housing exuberance to the global 2008 ?09 recession. For our empirical analysis, we employ two recursive univariate unit root tests recently developed by Phillips and Yu (International Economic Review 52(1):201–226, 2011) and Phillips et al. (2015). We also propose a novel extension of the test developed by Phillips et al. (2015) to a panel setting in order to exploit the large cross-sectional dimension of our international dataset. Statistically significant periods of exuberance are found in most countries. Moreover, we find strong evidence of the emergence of an unprecedented period of exuberance in the early 2000s that eventually collapsed around 2006 ?07, preceding the 2008 ?09 global recession. We examine whether macro and financial variables help to predict (in-sample) episodes of exuberance in housing markets. Long-term interest rates, credit growth and global economic conditions are found to be among the best predictors. We conclude that global factors (partly) explain the synchronization of exuberance episodes that we detect in the data in the 2000s.     

Firm Size and Cyclical Variations in Stock Returns

Recent imperfect capital market theories predict the presence of asymmetries in the variation of small and large firms' risk over the economic cycle. Small firms with little collateral should be more strongly affected by tighter credit market conditions in a recession state than large, better collateralized ones. This paper adopts a flexible econometric model to analyze these mplications empirically. Consistent with theory, small firms display the highest degree of asymmetry in their risk across recession and expansion states, which translates into a higher sensitivity of their expected stock returns with respect to variables that measure credit market conditions.