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潜藏因子是指对当前利率曲线没有影响或影响甚微,但对未来利率具有预测作用的信息.本文采用Duffee的潜藏因子分析框架,发现中国市场上中短期利率的五因子模型的方差比仅为0.41,较好地证实了潜藏因子的存在性.接着从风险溢酬因子中剔除利率曲线信息后得到潜藏因子,并且证实了潜藏因子包含着丰富的经济信息含量,并集中体现为通货膨胀和宏观流动性的信息,特别是通货膨胀信息,但与经济增长类指标联系微弱.最后,本文发现中国市场上的潜藏因子对未来利率变化具有良好的预测力.
Latent factor refers to the current interest rate curve has little or no effect, but the future interest rate has a predictive effect on the information.In this paper, Duffee’s latent factor analysis framework and found that the Chinese market, short-term interest rates in the five-factor model of the variance ratio 0.41, which confirms the existence of the latent factor well.Finally, the latent factor is obtained by excluding the interest rate curve information from the risk premium factor, and confirms that the latent factor contains rich economic information content, which is embodied as inflation and macroscopic Liquidity information, especially inflation information, but weakly linked with economic growth indicators.Finally, this paper finds that the latent factors on the Chinese market have good predictive power on future interest rate changes.