状态转移下的利率预期与误差学习假说

采用线性回归和状态转移模型讨论利率预期的"误差学习假说"和不同期限利率预测误差之间的关联性,并考虑带有风险溢价时预测误差的作用.分析发现,1年期限的"误差学习假说"在银行间国债市场中是成立的,不同期限的利率预期对预测误差的反应呈现一定的独立性,不同的状态中预测误差和风险溢价对利率预期的影响是不同的,考虑风险溢价有助于提升对利率预期变动的解释.

Interest Rate Expectation and Error Learning Hypothesis under Regime Shift

Using linear regression and Markov regime shift model,this paper inspects the error learning hypothesis in interest rate expectation,and analyzes relevance between different expectation errors of interest rate.And more,the role of risk premium is considered.The results show that one year period error learning hypothesis is demonstrated in interbank treasury market.The responds of interest rate expectations in different periods to expectation errors are independent,while expectation errors and risk premium have different effects on interest rate expectations in different states.Considering risk premium is conducive to explain the change of interest rate expectations.