固定收益证券论文【荐】.pdfVIP

Paper for the conference of Monetary and Financial Stability in the Asia-Pacific amid an Uneven Global Recovery The Term Structure of Interest Rates and Its Forecast Ability of Macro Economy in China Lee Hongjin Contact: Operations Office, the People’s Bank of China; Visiting professor of Guangdong University of Finance; Address: No.79, Yuetan South Street, Beijing, 100045; Phone: 86-10 Email: leehongjin@163.com / leehongjin@ . 1 The Term Structure of Interest Rates and Its Forecast Ability of Macro Economy in China Abstract: The forecast ability of term structure is tested in this paper with the data of interbank treasury yield curve of Chinabond. The results show that there are positive relationships between term structure and the changes of future macro economy, i.e. GDP, consumption, production and inflation, which is similar with the studies of the developed countries. The term structure can predict the mid-term economic growth well, even considering the effects of monetary policy and another leading indicator. With the regression results, the out-of-sample predictions show a lower and decreasing growth rate in the next two years, which is normal and maybe the natural outcomes of the current prudential policies. Key words: Term structure of interest rates; Macro economy; Forecast JEL: E43; E47; E37 2 1. Introduction Since late 1980s, lots of studies have confirmed that the term structure of interest rates contains the information of future macro economy wit