利率期限结构的经济预测能力:定量研究方法缕析

发布时间：2018-06-21 14:31

本文选题：利率期限结构 + 宏观经济　；参考：《上海金融》2017年06期

【摘要】：利率期限结构集中反映了金融市场中的复杂信息以及人们对经济形势的预期,是宏观经济运行"指示器"。利率期限结构的经济预测能力可以从预期理论、货币政策效应等维度进行解释。线性回归模型、概率选择模型和区制转移模型等可以应用于利率期限结构经济预测能力的定量研究,特别是宏观-金融模型具有更强的结构性解释能力,具有良好的应用前景。我国学者对利率期限结构经济预测能力的研究起步较晚,在研究内容与研究方法方面仍然具有较大提升空间。因此,要将对利率期限结构的学术前沿探索与服务于国家经济政策制定相结合,进一步发挥利率期限结构在系统性金融风险预警、提升货币政策前瞻性方面的作用。
[Abstract]:The term structure of interest rate reflects the complex information in the financial market and people's expectation of the economic situation, and it is the indicator of macroeconomic operation. The economic forecasting ability of term structure of interest rate can be explained from the perspective of expectation theory and monetary policy effect. Linear regression model, probabilistic selection model and regional transition model can be applied to the quantitative study of the economic prediction ability of term structure of interest rate, especially the macro-financial model has stronger structural interpretation ability and has a good application prospect. The research on the economic prediction ability of term structure of interest rate by Chinese scholars started late, and there is still much room for improvement in the research contents and methods. Therefore, it is necessary to combine the academic frontier exploration of the term structure of interest rate with the service of national economic policy making, and further play the role of term structure of interest rate in the early warning of systemic financial risk and the foresight of monetary policy.
【作者单位】：北京邮电大学公共管理学院;北京开放大学城市管理学院;
【基金】：国家自然科学基金青年科学基金项目“基于宏观-金融模型的利率期限结构经济预测能力及形成机制研究”(项目批准号:71403259)
【分类号】：F224.0;F822.0

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