【摘要】：市場對政策利率的預期在貨幣當局制定貨幣政策以及判斷貨幣政策效果時都起著十分重要的作用。鑒于制度性調查模式獲取政策利率預期的方法在時效性、真實性等方面均存在不足,本文嘗試從金融市場獲取政策利率預期,并發(fā)現,國債即期收益率曲線、銀行間質押式回購和SHIBOR隱含的1個月后的遠期利率對政策利率預測能力較強,且國債的預測能力強于銀行間質押式回購和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..
【作者單位】： 中國人民銀行廈門市中心支行;
【分類號】：F822.0

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本文編號：2525998