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1.
银行间债券市场国债利率期限结构与通货膨胀预测   总被引:1,自引:0,他引:1  
国外已有实证研究证明利率期限结构具有预测未来通货膨胀率的作用,本文采用我国银行间债券市场国债交易数据,对Mishkin模型和扩展的Mishkin模型进行实证分析,研究了不同期限的名义利率差与通货膨胀率的关系.结果发现:9个月与3个月的国债到期收益率之差与2年期与6个月的国债收益率之差含有一定的未来通货膨胀的信息,其他期限的国债收益率之差则不能用来预测未来通货膨胀.这表明,我国银行间债券市场国债利率期限结构可以作为央行制定货币政策的辅助工具.  相似文献   

2.
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。  相似文献   

3.
洪智武  牛霖琳 《金融研究》2021,486(12):95-113
综合国债市场的利率期限结构信息以及不同频率的宏观信息,本文构建混频无套利Nelson-Siegel利率期限结构扩展模型,在对不同期限债券进行一致性定价理论约束下,提取了中国通货膨胀预期的期限结构并对其进行影响因素分析。研究结果表明,本文模型提取的通胀预期期限丰富、结果稳健,具有较好的参考价值。通胀预期水平和变动响应主要受货币增长率、通胀率及全球食品价格变动等国内外相关宏观变量的影响,与国债收益率因子之间的关系不显著;国债收益率因子对中长期通胀预期的方差波动具有较强解释力,表明国债定价反映了未来通胀的不确定性。本文研究有助于充分利用我国宏观与金融市场信息条件,有效发现和锚定通胀预期,一方面,研究结果可为政策制定者和市场投资者提供科学的决策参考,另一方面,研究方法对丰富宏观金融领域的分析框架具有参考价值。  相似文献   

4.
洪智武  牛霖琳 《金融研究》2020,486(12):95-113
综合国债市场的利率期限结构信息以及不同频率的宏观信息,本文构建混频无套利Nelson-Siegel利率期限结构扩展模型,在对不同期限债券进行一致性定价理论约束下,提取了中国通货膨胀预期的期限结构并对其进行影响因素分析。研究结果表明,本文模型提取的通胀预期期限丰富、结果稳健,具有较好的参考价值。通胀预期水平和变动响应主要受货币增长率、通胀率及全球食品价格变动等国内外相关宏观变量的影响,与国债收益率因子之间的关系不显著;国债收益率因子对中长期通胀预期的方差波动具有较强解释力,表明国债定价反映了未来通胀的不确定性。本文研究有助于充分利用我国宏观与金融市场信息条件,有效发现和锚定通胀预期,一方面,研究结果可为政策制定者和市场投资者提供科学的决策参考,另一方面,研究方法对丰富宏观金融领域的分析框架具有参考价值。  相似文献   

5.
中国国债收益率曲线构造的比较分析   总被引:7,自引:2,他引:7  
随着我国国债期限结构的不断完善和收益率曲线模型研究的不断发展,采取恰当的方法构造中国国债收益率曲线具有理论和实践的双重重要意义。本文比较分析了目前我国构造国债收益率曲线的主要研究方法:直接方法、模拟方法、多项式样条函数法和扩展的Nelson-Siegel模型,认为用Nelson—Siegel模型构造中国国债收益率曲线最适合我国国债市场发展现状。  相似文献   

6.
伍旭川  李蕊 《银行家》2005,(12):47-48
收益率曲线是由不同期限,但具有相同风险、流动性和税收的债券收益率连接而形成的曲线。收益率曲线不仅反映了不同期限债券收益率的变化,还反映了货币政策的意图,并且包含信用市场条件的诸多信息,长期收益曲线反映了信用市场供给与需求的均衡。而且,收益率曲线还反映了未来通货膨胀的变化。  相似文献   

7.
零息票收益率曲线是利率期限结构理论分析的基础,在金融估价和风险管理中发挥着重要作用。提出基于多项式样条函数构造零息票收益率曲线的过程及改进方法:考虑国债采样日位于付息日之间、年付息次数可变的情形,使分析更具一般性;针对多项式样条函数拟合时回归系数不显著的问题,采取剔除不显著变量的方法进行改进;讨论比较了两种样条值确定方法在我国的适用性,并研究了模型的稳定性。选取上交所国债进行的实证研究表明,在现阶段我国国债样本数据较少、结构不甚合理的情况下,采用剔除不显著变量的三段三次样条函数可以较好地构造我国的零息票收益率曲线。  相似文献   

8.
本文选取2007年1月—2016年6月中国国债即期收益率数据,利用动态Nelson-Siegel模型构造反映国债利率期限结构的水平、斜率和曲率因子,并运用Johansen协整检验、VEC模型等方法考察通货膨胀水平、股票市值与利率期限结构间的行为特征,研究发现:通过Nelson-Siegel模型构造的结构因子体现出利率期限结构的特征;通货膨胀率、股票市值与国债利率期限结构的水平、斜率因子之间存在长期的协整关系,但是通货膨胀水平和股票市值变动对水平因子无显著影响,反映出货币政策向债券市场传导的效率有待完善;长期看来,通货膨胀水平和股票市值均在缩小斜率因子方面效果显著。此外,斜率因子可以预测出通货膨胀水平的变化,为制定和实施货币政策提供前瞻性信息。  相似文献   

9.
通过对上海证券交易所国债市场指数收益率序列波动特征的研究发现,上交所国债市场指数收益率不但具有非正态性和条件异方差的特点,还具有长记忆性特征.实证研究表明,FIGARCH(1,d,1)模型能够较好地刻画上交所国债指数收益率波动的特征.  相似文献   

10.
国债收益率曲线即描述各种到期时间的国债收益率的图形,其研究思路为:首先设计一个能够在形式上符合我国利率期限结构特征的研究模型,然后根据商业银行存款利率,得出商业银行存款利率期限结构模型,之后研究回购利率的期限结构特征,并恰当地建模,最后利用商业银行存款利率模型和回购利率模型,结合国债定价,得到交易所国债的利率期限结构.  相似文献   

11.
通胀预期量度在以通胀预期为导向的货币政策中的意义重大。本文利用卡尔曼滤波法将离散时间两因子无套利广义高斯仿射模型运用于我国银行间债券市场,第一次从中国国债收益率曲线中分解出金融市场的中长期通胀预期L。将L与居民通胀预期和经济学家通胀预期比较,发现从事前看,L优于经济学家通胀预期,稍逊于居民通胀预期;从事后看,L优于居民通胀预期,稍逊于经济学家通胀预期。综合看,L作为金融市场形成的、高频的、反映中长期通胀的预期指数,对货币政策制定具有现实的参考意义。  相似文献   

12.
We contribute to the empirical literature on the risk-management approach to monetary policy by estimating regime switching models where the strength of the response of monetary policy to macroeconomic conditions depends on the level of risk associated with the inflation outlook and risk in financial markets. Using quarterly data for the Greenspan period we find that: (i) risk in the inflation outlook and in financial markets are a more powerful driver of monetary policy regime changes than variables typically suggested in the literature, such as the level of inflation and the output gap; (ii) estimation of regime switching models shows that the response of the US Fed to the inflation outlook is invariant across policy regimes; (iii) however, in periods of high economic risk monetary policy tends to respond more aggressively to the output gap and the degree of inertia tends to be lower than in normal circumstances; and (iv) the US Fed is estimated to have responded aggressively to the output gap in the late 1980s and beginning of the 1990s, and in the late 1990s and early 2000s. These results are consistent with Mishkin (2008)’s view that in periods of high economic risk monetary authorities should respond aggressively to changes in macroeconomic conditions while the degree of inertia should be lower than in normal circumstances.  相似文献   

13.
This paper examines the robustness of one month treasury bills as predictors of inflation. The evidence is inconsistent with the joint hypothesis that (1) the expected real rate of interest was constant for one-month bills and (2) that markets are efficient with regard to the time series of inflation. When the expected real rate of interest is set equal to the conditional expectation given the time series of real rates, the results are much more consistent with the efficient markets model. In more positive terms, the failure to confirm market efficiency appears to be the result of naive estimates of the expected real rate.  相似文献   

14.
This article considers the pricing and hedging of inflation-indexed swaps, and the pricing of inflation-indexed swaptions, and options on inflation-indexed bonds. To price the inflation-indexed swaps, we suggest an extended HJM model. The model allows both the forward rates and the consumer price index to be driven, not only by a standard multidimensional Wiener process but also by a general marked point process. Our model is an extension of the HJM approach proposed by Jarrow and Yildirim [Jarrow, R., Yildirim, Y., 2003. Pricing treasury inflation protected securities and related derivatives using an HJM model. Journal of Financial and Quantitative Analysis 38, 409–430] and later also used by Mercurio [Mercurio, F., 2005. Pricing inflation-indexed derivatives. Quantitative Finance 5 (3), 289–302] to price inflation-indexed swaps. Furthermore we price options on so called TIPS-bonds assuming the model is purely Wiener driven. We then introduce an inflation swap market model to price inflation-indexed swaptions. All prices derived have explicit closed-form solutions. Furthermore, we formally prove the validity of the so called foreign-currency analogy.  相似文献   

15.
The breakeven inflation, the differential between nominal and real yields of bonds, is often used as a predictor of future inflation. The model presented here decomposes this interest rate differential into a risk premium and implicit inflation using a parametric formulation based on no-arbitrage conditions using nominal and indexed yield curves in Brazil, via an affine model of the Nelson–Siegel family. The measures of implicit inflation obtained from the model are shown to be unbiased estimators of future inflation for short horizons and carry some information for long horizons, and the model forecasts are superior to market surveys.  相似文献   

16.
Inflation expectations play a key role in determining future economic outcomes. The associated uncertainty provides a direct gauge of how well‐anchored the inflation expectations are. We construct a model‐based measure of inflation expectations uncertainty by augmenting a standard unobserved components model of inflation with information from noisy and possibly biased measures of inflation expectations obtained from financial markets. This new model‐based measure of inflation expectations uncertainty is more accurately estimated and can provide valuable information for policymakers. Using U.S. data, we find significant changes in inflation expectations uncertainty during the Great Recession.  相似文献   

17.
This paper studies a state-dependent pricing model in which firms face a fixed cost of changing their pricing plans. A pricing plan specifies an entire sequence of time-varying future prices. Allowing firms to choose a pricing plan rather than a single price generates inflation inertia in the response of the economy to small changes in the growth rate of money. Allowing firms to choose when to change their pricing plan generates a non-linear response of inflation and output to small and large changes in the money growth rate. The non-linear solution method also reveals that the model generates an asymmetric response of output and inflation to monetary expansions and contractions.  相似文献   

18.
The relationship between the interest rate and the maturity of newly issued bonds provides information on the debt dynamics of an economy as well as on the sustainability of its debt. Such information is crucial especially for countries that have debt‐rollover concerns due to financial stress and/or macroeconomic instability. This study investigates the relationship between treasury auction maturity, which also dictates the debt maturity, and auction interest rates. When the Turkish treasury auction data from 1988 to 2004 are analysed, a reciprocal linkage between auction interest rates and maturities can be observed, especially for the 1995–2000 period, when there were chronic high inflation, high political uncertainty, high public deficits and unsuccessful attempts at stabilisation. This suggests that under an adverse shock, the Treasury decreases the auction maturity in order not to increase interest rates too much. A change in this reciprocal relationship is also reported for the post‐2001 era, which is characterised by decreasing inflation, higher political stability, lower public deficits and successful stabilisation attempts.  相似文献   

19.
We introduce a novel non-parametric methodology to test for the dynamical time evolution of the lag–lead structure between two arbitrary time series. The method consists of constructing a distance matrix based on the matching of all sample data pairs between the two time series. Then, the lag–lead structure is searched for as the optimal path in the distance matrix landscape that minimizes the total mismatch between the two time series, and that obeys a one-to-one causal matching condition. To make the solution robust to the presence of a large amount of noise that may lead to spurious structures in the distance matrix landscape, we generalize this optimal search by introducing a fuzzy search by sampling over all possible paths, each path being weighted according to a multinomial logit or equivalently Boltzmann factor proportional to the exponential of the global mismatch of this path. We present the efficient transfer matrix method that solves the problem and test it on simple synthetic examples to demonstrate its properties and usefulness compared with the standard running-time cross-correlation method. We then apply our ‘optimal thermal causal path’ method to the question of the lag-dependence between the US stock market and the treasury bond yields and confirm our earlier results on an arrow of the stock markets preceding the Federal Reserve Funds’ adjustments, as well as the yield rates at short maturities in the period 2000–2003. Our application of this technique to inflation, inflation change, GDP growth rate and unemployment rate unearths non-trivial lag relationships: the GDP changes lead inflation especially since the 1980s, inflation changes leads GDP only in the 1980 decade, and inflation leads unemployment rates since the 1970s. In addition, our approach seems to detect multiple competing lag structures in which one can have inflation leading GDP with a certain lag time and GDP feeding back/leading inflation with another lag time.  相似文献   

20.
This paper tests a theorem to the effect that the difference in nominal interest rates between two securities of the same maturity but different risk is an increasing linear function of the expected rate of inflation. When inflation is modelled in a way which is rational in the sense of Muth, the evidence is highly consistent with the theorem's inferences. Estimates are also obtained of the real risk premiums that certain types of securities generate over the three-month treasury bill rate (which is assumed to be risk-free). These range from three basis points for three-month finance paper to 16 basis points for three-month Eurodollar deposits.  相似文献   

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