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预期理论是解释国债利率期限结构进而预测宏观经济政策的重要理论。基于国债发行频率会影响国债利率期限结构的假设,本文应用频段谱相回归方法对我国国债市场利率期限结构的预期理论进行了检验。检验结果发现,预期理论在我国国债市场总体不成立,特别是在高频段和低频段,利率期限结构所包含的期限溢价信息较少。我国应通过更加透明的宏观经济政策及推进国债利率市场化来完善我国利率期限结构。
Expectation theory is an important theory to explain the term structure of government bond interest rate and then to predict macroeconomic policy. Based on the assumption that the issue frequency of government bonds will affect the term structure of the interest rate of treasury bills, this paper tests the expected theory of the term structure of the interest rate market in China’s treasury bonds by using spectral band-wise regression method. The test results show that the expected theory is not generally established in the national debt market in our country, especially in the high frequency band and the low frequency band, and the term premium structure contained in the interest rate term structure has less information about the premium. China should perfect the term structure of interest rate in our country through a more transparent macroeconomic policy and the marketization of the interest rate of government bonds.