交易所国债回购利率期限结构研究

本文对上海证券交易所国债回购利率的利率期限结构进行了研究。与以往研究结果不同，本文使用GMM方法克服了国内学者在预期理论实证研究中的估计偏误。本文发现，在假定期限溢价为常数时不支持预期理论，但把时变的期限溢价引入检验模型中时、实证结果支持了预期理论。但期限溢价及即期利率价差仅能部分解释未来短期利率的变动，预测效果较差，还需要对流动性、投资者的风险偏好等可能的影响因素作进一步分析，以期提高对市场利率变化的预测精度。

Empirical Analysis on Exchange TB Repurchase Rates

This paper studies the exchange repurchase rates. Adopting the GMM method, the author is able to overcome the estimate errors often found in Chinese empirical studies. It is found out that the estimation hypothesis is rejected when the term premium remains at a common level. When the time-varying term premium is brought into the test model, the estimation hypothesis is warranted. However, term spreads and term premium are poor predictors of future short-term rates. This should be supplemented by further analysis of various factors including liquidity and investor risk preference in order to achieve a precise forecast of interest rates.