發(fā)布時間：2018-01-24 18:25

  本文關(guān)鍵詞： 經(jīng)濟周期 經(jīng)濟衰退概率 產(chǎn)出缺口 期限利差 收益率曲線　出處：《復(fù)旦大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：理論和實踐都表明,期限利差對經(jīng)濟周期具有很強的預(yù)測能力。在經(jīng)濟發(fā)展趨勢日趨復(fù)雜化的今天,對未來適當時期內(nèi)的經(jīng)濟發(fā)展狀況進行預(yù)測,從貨幣政策及其他宏觀調(diào)控政策制定的角度來說意義重大。本文對我國國債期限利差在經(jīng)濟周期預(yù)測方面的作用及表現(xiàn)進行了全面研究。首先,對1994至2012年我國實際季度GDP進行HP濾波法分解,得到產(chǎn)出缺口的估計值,并據(jù)此對我國經(jīng)濟進行周期測定。測定結(jié)果與實際情況和滯后指數(shù)所反映情況較為相符。接下來,本文對我國國債市場和期限利差進行詳細介紹,并選定10年期國債平均收益率作為長期利率、2年期和1年期國債平均收益率作為短期利率,從而構(gòu)造我國的國債期限利差。主體部分是,采用Probit模型,用2001年第1季度至2012年第4季度的我國國債期限利差作為自變量,對當期一直到第8個季度之后的我國經(jīng)濟周期狀況進行回歸,發(fā)現(xiàn)由10年期和2年期國債所構(gòu)造的期限利差具有對經(jīng)濟周期的預(yù)測能力,而由10年期和1年期國債所構(gòu)造的期限利差則沒有預(yù)測能力。據(jù)此給出了我國期限利差和1年后我國經(jīng)濟衰退概率之間的一一對應(yīng)關(guān)系。對先行指數(shù)、采購經(jīng)理人指數(shù)、股票指數(shù)和債券指數(shù)等宏觀經(jīng)濟領(lǐng)先指標的類似回歸顯示,它們均具有對我國經(jīng)濟周期預(yù)測的能力,但是先行指數(shù)、采購經(jīng)理人指數(shù)的預(yù)測能力集中在1年以內(nèi),股票指數(shù)和期限利差的預(yù)測能力在中期的半年到1年半之間,而債券指數(shù)的預(yù)測能力則在1年半到2年半之間。而半年到1年半的中期預(yù)測期限,對于貨幣政策制定者來說具有十分大的借鑒意義。將期限利差和領(lǐng)先指標一起加入到回歸模型中,發(fā)現(xiàn)期限利差具有其他領(lǐng)先指標所不具備的對我國經(jīng)濟周期的預(yù)測能力,主要體現(xiàn)在預(yù)測期限的長度上,即期限利差在中期的預(yù)測能力是其他領(lǐng)先指標不具備的。將美國和德國的期限利差加入到回歸模型中,結(jié)果顯示其系數(shù)十分顯著,然而系數(shù)估計值的符號與理論相反,這說明存在偽相關(guān)的可能性,因此不能判斷外國期限利差對我國經(jīng)濟周期是否具有預(yù)測能力。
[Abstract]:Both theory and practice show that the term spread has a strong ability to predict the economic cycle. At a time when the trend of economic development is becoming more and more complicated, this paper forecasts the economic development in the appropriate period in the future. From the point of view of monetary policy and other macro-control policies, this paper makes a comprehensive study on the role and performance of the term spread of national debt in the forecasting of economic cycle. From 1994 to 2012, the GDP of our country was decomposed by HP filtering method, and the estimated output gap was obtained. The results are consistent with the actual situation and the lag index. Next, the paper introduces the bond market and term spread in detail. The average yield of 10-year bonds is chosen as long-term interest rate, and the average yield of 2-year and 1-year Treasury bonds is taken as short-term interest rate, thus constructing the maturity spread of China's treasury bonds. The main part is as follows. Using the Probit model, the term spread of our national debt from in the first quarter of 2001 to in the fourth quarter of 2012 is used as the independent variable. From the current period to the eighth quarter after the state of our economic cycle regression, it is found that the 10-year and 2-year Treasury bonds constructed by the term spreads have the ability to predict the economic cycle. However, the term spread constructed by 10-year and 1-year bonds has no predictive power. Based on this, the one-to-one corresponding relationship between the term spread of China and the probability of economic recession after one year is given. The similar regression of purchasing manager index, stock index and bond index shows that they all have the ability to predict the economic cycle of our country, but the leading index. The forecasting ability of purchasing managers' index is concentrated in less than one year, and the forecasting ability of stock index and term spread is between half and a half years in the medium term. The bond index's predictive power ranges from one and a half years to two and a half years, and half a year to one and a half years. It is of great significance for monetary policy makers. The term spread and leading indicators are added to the regression model. It is found that the term spread has the ability to predict the economic cycle which other leading indicators do not have, mainly reflected in the length of the forecast period. That is, the term spread in the medium term forecasting ability is not available in other leading indicators. The United States and Germany of the term spread into the regression model, the results show that its coefficient is very significant. However, the symbol of the estimated value of the coefficient is contrary to the theory, which indicates that there is a possibility of pseudo-correlation, so it is impossible to judge whether the foreign term interest rate difference has the ability to predict the economic cycle of our country.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F124.8;F832.51;F224

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