【摘要】 利率期限结构的货币政策含义受到了各国的高度重视。本文对我国利率期限结构与未来经济变化之间的关联性进行实证研究,结果发现:长短期利差对我国未来经济变化具有一定的可预测性,在1～12个月的检验期内,利差系数均显著为负,且对中长期累积经济变化率的解释力度最高;但利差的边际预测效果较差,各期回归方程的拟合优度不高;在引入了货币政策变量等其他具有预测力度的信息变量后,利差的预测效果仍然显著。表明利率期限结构可以为货币当局的决策提供一定参考。更多还原

【Abstract】 The monetary implication of term structure has been the focus of recent empirical work. This paper gives an empirical analysis on the predictive power of term structure of interest rate, and finds that the slope of the yield curve is negatively associated with the future development of economy, which can predict cumulative changes in economy for up to 12 months into the future, better than marginal changes, which has lower adjusted R2, and that the slope of the yield curve reflected factors that were not under the control of the monetary authorities. It shows that the spread could be a good reference for decision making of monetary authorities.更多还原