摘要
文章在无套利仿射期限结构模型框架下,模拟了不同货币政策反应系数组合下期限利差对未来产出预测系数的大小,其结果与中国实际数据相吻合,并进一步分析了利差预测能力随货币政策反应系数变动的内在逻辑。基本结论包括:第一,在多数货币政策反应参数组合下,长短期利差(10年期减去3个月期利差)对未来产出具有正向预测能力,但在货币政策对产出反应系数很高同时对通胀反应系数很低等特殊情况下,利差正向预测能力消失。第二,在货币政策对产出反应系数高于特定值后,利差对未来产出的预测能力会随着货币政策对产出反应系数Φrg的提高而降低,随着货币政策对通胀反应系数Φrg的提高而提高。其原因在于虽然由通胀上升和产出上升引起的货币政策紧缩预期均被反映为短期收益率的风险中性部分的上升,但前者预示未来产出下降,后者并不必然对应于未来产出下降。第三,货币政策对产出反应系数偏小(但不接近0)、对通胀反应系数偏高的组合下利差预测能力最强。
Under the framework of the no-arbitrage affine term structure model,this paper simulates the forecast coefficient of term spread for future output under different combinations of monetary policy response coefficient,whose results are consistent with China’s actual data,and this paper further analyze the internal logic about why the predictive power of term spread changes with the monetary policy response coefficient.The basic conclusions of this paper are as follows:First,under most monetary policy response parameter combinations,the long-very-short spread(10-year yield minus 3-month yield)have a positive predictive coefficient for future output,but under the special circumstances(for example,monetary policy has a high response coefficient to output and a low response coefficient to inflation),the positive predictive coefficient of spread disappears.Second,when the response coefficient of monetary policy to output is higher than a certain value,the prediction ability of term spread to future output will decrease with the increase of the response coefficient of monetary policy to output,and increase with the increase of the response coefficient of monetary policy to inflation.The reason is that although the tightening expectation of monetary policy caused by the rising inflation and output all can be reflected as the rising of risk neutral part of short-term yield,the former indicates the decline of future output,while the latter does not necessarily correspond to the decline of future output.Thirdly,the combination of monetary policy with a low response coefficient to output(but not close to 0)and a high response coefficient with inflation has the strongest predictive power on spreads.
作者
李艳丽
李庆祥
Li Yanli;Li Qingxiang(School of Economics,Fudan University;Applied Economics Postdoctoral Mobile Station,Fudan University;Postdoctoral Workstation,Shanghai Pudong Development Bank)
出处
《上海经济》
2020年第4期90-106,F0003,共18页
Shanghai Economy
关键词
利差
预测能力
货币政策反应系数
Term Spread
Predictive Power
the Reaction Coefficient of Monetary Policy
