利率期限结构预期理论的实证研究——基于中国国债收益率

预期理论是理解利率期限结构的基本理论,其成立与否对于投资者和央行决策具有重要影响。文章以中国国债收益率的数据为样本,运用回归分析法实证检验利率期限结构预期理论。研究发现,利率期限不同,结果不同。中度波动利率序列能够支持预期理论,而高度和低度波动利率序列均拒绝预期理论。其原因在于央行的货币政策导致不同期限利率升贴水的相对变化。

Empirical Research on Expectations Hypothesis of the Term Structure of Interest Rates——Based on the Yield of China’s Government Bond

Expectations hypqhesis is the basis of understanding the term structure of interest rate,which is very important for Center Bank and investor to make decision whether holds it or not.This paper tests the expectations hypothesis of the term structure of interest rates,using OLS and the data of China’s Government Bond,shows a significantly positive relation between the term spread and the change in the long-term interest rate in a intermediate frequency band,whereas the relation is negative or insignificant at higher and lower frequencies.