中国实际利率与通胀预期的期限结构：基于无套利宏观金融模型的研究

The information of real interest rates and expected inflation is important to China’s monetary policy and investors’ decision. In this paper, we extract the term structure of real interest rates and expected inflation from the yield curve of China’s Treasury bond market by constructing a no-arbitrage macro finance model. We find that China’s real interest rates of various maturities from January 2005 to April 2012 have been persistently negative, reflecting the loose monetary policy and imperfection in the market mechanism of interest rates formation. When compared to existing indices of expected inflation, the expected inflation implied by our method is highly close in terms of level and variation. And the implied expected inflation also coincides with the business cycle of inflation fluctuation in China. The advantage of our method is that expected inflation of different future horizons can be constructed, which provides richer information than single index to policy makers and market participants.