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中国通货膨胀预期及其影响因素分析——基于混频无套利Nelson-Siegel利率期限结构扩展模型

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  • 洪智武
  • 牛霖琳

Abstract

为综合运用国债收益率曲线蕴含的丰富信息提升对中国通胀预期的建模、预测和影响因素分析，本文推导了含有通胀等宏观变量的混频无套利Nelson-Siegel利率期限结构扩展模型，模型兼具理论一致性和信息有效性，在对不同期限债券进行一致性定价的理论约束下，从债券市场和不同频率的宏观金融变量中提取了能够较好反映中国通胀水平和变动的通胀预期期限结构。本文的实证结果表明：1）中国通胀预期的水平主要由货币增长率、通胀率以及全球食品价格变动决定；2）中短期通胀预期对各宏观金融变量冲击具有不同程度的显著响应；3）对于中长期通胀预期的波动，收益率因子的解释力大于其他宏观变量，说明国债定价反映了未来通胀不确定性。本文的研究方法有助于市场投资者和政策决策者对通胀预期的发现和锚定。

Suggested Citation

  • 洪智武 & 牛霖琳, 2020. "中国通货膨胀预期及其影响因素分析——基于混频无套利Nelson-Siegel利率期限结构扩展模型," Working Papers 2020-09-28, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    • Handle: RePEc:wyi:wpaper:002580
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    Keywords

    通胀预期；混频建模；无套利Nelson-Siegel利率期限结构模型;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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