CAJ | 학술논문

本文对国债回购市场的利率数据在采用单位根和协整检验的基础上，通过分析国债回购利率走势和波动幅度的不同，将全部样本数据分成两个子样本，并在基于利率预期假说成立的基础上，利用单方程回归和向量自回归模型来检验收益率价差对未来利率变化的预测能力。结果发现．利率价差在两个子样本区间上都对未来的利率变化有较强的预测能力．且利率波动幅度越大，则利率价差对未来利率变化的预测能力越强；反之，则越弱。
본문대국채회구시장적리솔수거재채용단위근화협정검험적기출상，통과분석국채회구리솔주세화파동폭도적불동，장전부양본수거분성량개자양본，병재기우리솔예기가설성립적기출상，이용단방정회귀화향량자회귀모형래검험수익솔개차대미래리솔변화적예측능력。결과발현．리솔개차재량개자양본구간상도대미래적리솔변화유교강적예측능력．차리솔파동폭도월대，칙리솔개차대미래리솔변화적예측능력월강；반지，칙월약。
The paper, on the basis of testing government bond repo market＇s interest rate data with unit root and cointegration method, divides all sample data into two sub-samples by analyzing government bond repo interest rate trend and volatility range. Then, based on the existence of EMH, the paper utilizes single-equation regression and vector auto-regression model to test the predictive power of yield spread for the future interest rate change. The result shows that yield spread possesses good predictive power in the two sub samples and the power is higher in the more volatile first sub-sample. Thus, the yield spread in Chinese government bond repo market includes some useful information, reflects the expectation of market for the future interest rate change and may be used as a leading indicator to monitor the effect of conducting monetary policy by the Central Bank.