【摘要】 银行间回购利率的期限结构信息中,对利率变动的预期较少,而对期限风险溢价的预期更显著。回购的超额收益具有时变性和可预测性。当利差增大时,市场预期回购超额收益会增加,且预期长期限利率在短期内会下降,因此货币市场存在与预期假设相悖的"预期之谜"。货币市场利率期限结构的预测能力随市场发展阶段而呈现显著变化。本文最后说明根据超额收益的可预测性,可以构建套利组合获得利润。更多还原

【Abstract】 There is more risk premium expectation than interest rates change expectation in the term structure information of inter-bank repo market.Term premium always changes and can be forecasted.A high yield spread between a long-term and a short-term interest rate predicts rising excess returns and declining long-term yield changes over short term,so there is an "expectation puzzle" in China.The predictability of term structure changed with the development of the money market.And in the end,there may be some arbitrage opportunities since risk premium can be forecasted.更多还原