基于市场收益率曲线的政策利率预期研究
发布时间：2019-08-13 08:25
【摘要】：市场对政策利率的预期在货币当局制定货币政策以及判断货币政策效果时都起着十分重要的作用。鉴于制度性调查模式获取政策利率预期的方法在时效性、真实性等方面均存在不足,本文尝试从金融市场获取政策利率预期,并发现,国债即期收益率曲线、银行间质押式回购和SHIBOR隐含的1个月后的远期利率对政策利率预测能力较强,且国债的预测能力强于银行间质押式回购和SHIBOR。
[Abstract]:Market expectations of policy interest rates play a very important role in the formulation of monetary policy and in judging the effect of monetary policy. In view of the shortcomings of the institutional survey model in obtaining policy interest rate expectations in terms of timeliness and authenticity, this paper attempts to obtain policy interest rate expectations from financial markets, and finds that the yield curve of treasury bonds, interbank pledge repurchase and SHIBOR implied one month later forward interest rates have strong forecasting ability to policy interest rates, and the forecasting ability of treasury bonds is stronger than that of interbank pledge repurchase and SHIBOR..
【作者单位】： 中国人民银行厦门市中心支行;
【分类号】：F822.0
本文编号：2525998
[Abstract]:Market expectations of policy interest rates play a very important role in the formulation of monetary policy and in judging the effect of monetary policy. In view of the shortcomings of the institutional survey model in obtaining policy interest rate expectations in terms of timeliness and authenticity, this paper attempts to obtain policy interest rate expectations from financial markets, and finds that the yield curve of treasury bonds, interbank pledge repurchase and SHIBOR implied one month later forward interest rates have strong forecasting ability to policy interest rates, and the forecasting ability of treasury bonds is stronger than that of interbank pledge repurchase and SHIBOR..
【作者单位】： 中国人民银行厦门市中心支行;
【分类号】：F822.0
【相似文献】
相关期刊论文 前1条
1 刘敏;;构建多元化的银行间债券市场参与者结构[J];中国货币市场;2004年05期
，本文编号：2525998
本文链接：https://www.wllwen.com/jingjilunwen/huobiyinxinglunwen/2525998.html
