1、 S g q Ka2Z qY n q S C 1 v5 Z a 220| 200433 K1SO g? M8%i ? dl 1 M g q so qp -2Z 1 M %i qYv g qY n q1 Mb gVC q1 s2Z qY7 q K| q sY n qYvb2Z qY n q1i g q K| q | qM ? O Bn ? b 1oM q K 2Z q Y n q O Bn L ! Market yield curve, official rate and inflation rate in China Fan Longzhen (School of Management, Fu
2、dan University, No. 220 Handan Road 200433) Abstract: In China, the size of bond market is quite smaller than the size of deposit assets in commercial banks. One-year market rate closely follows one-year deposit rate determined by Chinese government. But long-term rate is obviously related CPI infla
3、tion rate. So the market behaves like that the short-term market rate is closely related to the official rate, and the slope of the market yield cure is heavily affected by the inflation rate. Based on the fact there is no close relationship between the official rate and the inflation rate in the sa
4、mple period, the slope of the market yield curve shows weak forecastabilty for market rate change, but much stronger forecastability for bond risk premium. Key words: yield curve; official rate; inflation rate; bond risk premium; expectations hypothesis 1 VS= g AO g gKvB gbSO4 B g q KYVSON V a a g q
5、b SO g q1TSv 1O g Ls g qM b Fama, Bliss (1987) SO g L?C q V q O qM Campbell, Shiller (1991)?C q K| q9 V q qMbBrandt, Wang (2003) 4B PgB 0Y n d M1iV L Y n ql 9F|gB 09F V7O 1 p qb M1 Balduzzi, Bertola, Foresi (1997)DeBondt, Bange (1992)bCochranePiazzesi (2005)?C s q K V4O q ? b CochranePiazzesi(2005)?
6、C SO g Btn46M E4O q ? bn4 6M X sQ - q Kb Ludvigson S Ng S. (2005) 1 SE1 S 70471010 W 9 TO - q 1Bn M 46M M b I v 46S?CoY ny0po L=y0po y0 p V dO g - qb S Z V 1991 M 7 S SO 7Z SOb O Z g K1FsbSOB# SON c q K gd1b 6BZ S g6?Z ; TZE SEb M S ; ; T S S ? 6Yv%i q 2Z qb g? M l g q s2Z qY V ?vb1 O g q K + q K ?
7、qMO - q q K I VCt+ 2Z qY n q1 $ -1S% lm gD bFan, Zhang (2006a) W g q KBnBnVd9 A Ai O S q o q M11bFan, Zhang(2006b) W g g q Y?C gBs g qYy g 9g q o q9 g qYybt 1 S g q K1SO g qSO q D -1 B kb 2 g q KO qd9+ Z gV 1991 M 7 S SO 94 MP HY n q? BtY n O N ?Q g l qb TtO 1 94 MP g SO EVN p g q Kb 96 M Y nX LH Y
8、gNO b 1998 M M? O O 9 P V 9 q KbyN | uWV 1998 M 7 2006 M 6 bV 1 1 5 M qVr q KBtd9+b 6 1 M i q CPI V UY n qd9+b V A q KM q (9Vlv qo q5VvMl Mv M qo qKlb g q2Z qo qMvbt q46S B M1b V g qa2Z qaY n qBtd9+ Z Z V g M g q%3V M %i q $1*Vhn N QY n qbK sY aaaa1M1 b NFBO TUE TLFXOFTT LVUVTJT Z Z Z Z Z %3 $1* m g
9、 q Ka M %i qa Y n qb tM Y n qMKvV / M Pb2Z q Y n qB Kr MWr K b I C f $ L2Z q9 I n Y n qM VM Q M1 b g q A s2Z qY v HW 2 Z M i qb +Y Y n q g q s2Z q r b H 9 V A g q Y n q9B Y n q 6 g q9 6 Y n q/ H 9/ s2Z q Y ?/2Z q/b July-98 July-00 July-02 July-04 June-06 -2 -1 0 1 2 3 4 5 6 DR Y(1) Y(3) Y(5) CPI m q
10、 KaY n q# M %i q Z aZ aZ sYV aa M q%3 V M i q$1* VY n q 3 q K| q qMaO - q q K g q KQ g| q_ O Bnb yN n51 q K| q_#O - q1 bV ZL/:| )(ny t HW t K n , O lm q9 n M q )(nP t HW t K n , O Nb n M q1 )(ln 1 )( nP n ny tt = 1 HW tB n M O /B M q: O N 1 )(nR t )(ln)1(ln)( 11 nPnPnR ttt = + 2 ) q B M q B q 1 M g
11、q V HW t K M , O - q9 T n )1()()( 11 ttt ynRnXR = + 3 - q + V 2b V A =O - q ( KO ( q S9v uW+ O qB B1M1 12 1M1 b O M q W AM1b V 2 O - qd9+ XR(2)aXR(3)aXR(4)aXR(5)sYV 2 M a 3 M a 4 M a 5 M O - q NFBO TUE TLFXOFTT LVUVTJT 93 93 93 93 O - qW% f nm 2bO LC- q bY n qo v QO - qY n1 Y n q 3 9 M m 2 VY n qMb
12、V A O - qMY n qMzMQ Y n q H O LC- q Y n q H O LC- qb Y n q YO - q1y b June-99 June-01 June-03 June-05 June-06 -6 -4 -2 0 2 4 6 8 10 12 ChCPI XR(2) XR(3) XR(4) XR(5) m 2 O LC- q LCY n qM XR(2)aXR(3)aXR(4)aXR(5)sYV 2a3a4a5 M O - q ChCPI VY n q Mb V A MQ t b q K| qQ | qM #O 1 p - qb T | q 6 q K| qMv T
13、| q q K| qMlb 6BZ T O 1 p- q9F O - lm qMv q K| qMvb yN q K| qc qM O 1 p- q b ) q K qMO q d ? / /BZ )()1()5()1()1( 1 nyybayy ttttit + += (i =1, 2, 3, 4) 4 )()1()5()( 11 nyycanXR tttt + += (n=2, 3, 4, 5) 5 V 3 4 5 TB Tb V A q K| q+ ? 1 M qMb HW t A / 3 M = 1 M qM ? q K | q 12 Newey-West td 9 Ab 4 M qM
14、1 q K| qB Ab A| q- q ? b q K| q ? O - qb q K| qO - q9b q K | q O B n VC ? b s T Fama, Bliss (1987) S gsTB b S g qM ? 1 O - q ? 1 b V 3 q K| q qMaO - q *OUFSFTUSBUFDIBOHFGPSFDBTU &YDFTTSFUVSOGPSFDBTU c y(5)-y(1) R 2 c y(5)-y(1) R 2 ZU ZU 93 ZU ZU 93 ZU ZU 93 ZU ZU 93 4 q KY n q Vm 1 V A qY n qM1b Y n
15、 q H q9 Mv Y n q H qMlb Vm 2 V A O qY n qMMQb Y n qMv H O - qM Y n qM H O - qMb b#Q qMY n qM 1 / /BZ tttt CPIbaDRy +=)1( 6 tttt CPIbayny += )1()( (n=2, 3, 4, 5) 7 H QY n qO - q1/ /BZ 111 )()( + += tttt CPICPIdcnXR 8 Y n qo vB H ( 3Y n qbZ 6a 7a 8BT V 4b 1 M g q 1 M %i q ? C q Y n qM1 qoZB V$ Y n q d
16、b T VN- qY n qMW1 db V A LC- q LCY n qMM1 LC- qoZ B 9 VY n qM db V T Y n? h 7 L= q M qv q 7Y n qV A B ( Vb yN qY n qM1 4 L ! db TY n q9F O Y n qB9F O B9F V7O 1 p q * CY n q ?Q| B MY n qB V7CY n q V d O - q QB4 /BZ 11 )( + += ttt CPIdcnXR 9 BT V 5b V ACY n q V dO | B M- qb V 4 qY n q1a LC- q Y n qM1 $ $1* R 2 $ $IBOHFPG$1* R 2 Z %3 Z Z 93 Z Z 93 Z Z 93 Z Z 93 V 5 Y n qO - q ? $ $1* 93 93 93 93 5 q K2Z qaY n q1W%s W%) q K2Z qa Y n q1 / /_ 1 BZ 1 1 + = += t p i itit XBAX 10 )1()5(),1(,( tttttt yyyDRCPIX = 1_ 4 2i 10B
