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。

Demographics and the Term Structure of Interest Rates: The Flat Yield Curve of an Elderly Society

The slope of the yield curve is an important predictor of future economic activity. A flatter or inverted term spread often predicts low future output growth and a high probability of a recession. As an important economic signal and pricing benchmark for financial markets, the term structure of interest rates also affects investment decisions. We use demographics to study the dynamics of the yield curve. First, we discuss theoretically the channel of influence of the demographic structure. Next, we build a life-cycle model by introducing the consumption-capital asset pricing model (C-CAPM) to capture the dynamics of the yield curve. The life-cycle model allows us to capture the demographic structure and provides a general equilibrium basis for our analysis.
Our model reveals that the population structure affects the term structure of interest rates because of changes in savings over the life cycle, making demographics an important determinant of the yield curve. By influencing bond yields, the population structure has an impact on the yield curve. A young population prefers short-term bonds, which has a positive impact on the term structure of interest rates. Both middle-aged and elderly populations prefer long-term bonds, pushing down the long-term yields. Consequently, the slope of the term structure flattens with the age of the population.
The empirical evidence supports the predictions of our model. We obtain demographic data from the Health Nutrition and Population Statistics database of the World Bank and yield rate data from the International Financial Statistics database of the International Monetary Fund and the Wind database. Data on GDP, inflation and other economic variables come from the World Development Indicators dataset of the World Bank. Our sample includes 58 years of annual data from 194 countries or regions. We find that the term spread increases with the proportion of youth in an economy and that the proportions of middle-aged and elderly individuals have the opposite effect. The term spread is smaller and the yield curve is flatter in an older economy. These findings are robust to alternative population structure variables, term spread variables, estimation methods and sample weights.
The contributions of this paper are as follows. First, our theoretical model combines the life-cycle model and C-CAPM to examine how demographics relate to interest rates. Numerous studies focus on the impact of macroeconomic variables such as output and prices on the term structure of interest rates. We extend the literature by focusing on demographics as the driving force of the yield curve. In addition, we provide empirical evidence of the relationship between the population structure and the yield curve using various age structure variables, multi-dimensional yield curves (level and slope) and empirical models.
The second contribution is an interesting finding regarding the relationship between demographics and the yield curve. The theoretical and empirical evidence suggests that older economies may have higher short-term interest rates and lower long-term interest rates, leading to a relatively flat yield curve. A common concern is that an inverted yield curve might forecast an economic recession. However, a flat yield curve can stimulate long-term investment. In this sense, an increase in the age of the population can have a positive effect on long-term economic development.
The world's population is aging. Financial markets will respond to this change accordingly. Understanding the dynamic relationship between the yield curve and macroeconomic variables is of great importance. Our study provides investors with advice on how to judge market price distortions in the future. China's central bank, the People's Bank of China (PBOC), has recently lowered thereserve ratio. The new loan prime rate (LPR) is linked to interest rates set during open market operations, namely the PBOC’s medium-term lending facility. This change is meant to improve financial support and reduce the capital cost of the real economy. To further reduce interest rates, especially the long-term interest rate, the LPR interest rate mechanism should be used to increase the difference in interest rate policies, crack down on short-term speculation, encourage long-term investment and guide the development of the financial sector to coordinate with economic and social development. The population is always an important factor in economic development. Increasing the fertility rate and reducing the average age can revert the term structure of interest rates to a normal shape in the long run, improve the vitality of the economy and reduce the probability of an economic recession.