利率期限结构的隐含信息：提取与运用

在预警指标构建、政策效果评估、定价因子构造等工作中，实际利率预期、通胀预期、利率风险溢酬、通胀风险溢酬、流动性风险溢酬等信息十分重要。但迄今为止，具有即时性和前瞻性的此类信息仍不可得。本课题（1）通过解决“中国因子”和“非张成因子”等关键问题，构建适合中国的拓展的无套利动态利率期限结构模型；（2）基于资产定价原理，严谨解构和定义各类预期和先验风险溢酬，并将其表达为前述模型时变状态变量和参数的函数，进而从市场利率期限结构中提炼出相对纯粹、有经济意义、具有即时性和前瞻性的隐含信息，探索其在各类宏微观决策上的应用。课题申请人在隐含信息和利率模型方面具有丰富研究经验。如成功，可推动现有利率模型研究从“拟合现实”到更好地“运用于现实”，促进理论与应用互动发展；还可向应用领域提供基于整条利率期限结构的、严谨提炼得到的隐含信息，而不再是少数选定期限的利率或利差，信息更为完整、富有经济内涵。

Information on real interest rate expectations, inflation expectations, interest rate risk premiums, inflation risk premiums, liquidity risk premiums, etc., is important in the construction of early warning indicators, assessment of policy effectiveness, pricing factor constructions, etc. But so far such information, which need to be real-time and forward-looking, has not been available. This project (1) will build an extended arbitrage-free dynamic interest rate term structure model suitable for China by solving the key issues of "China's factors" and "unspanned factors"; (2) based on asset pricing principles, will rigorously decompose and define various types of expectations and ex-ante risk premiums, and express them as functions of the aforementioned model time-varying state variables and parameters, thereby extract the above implied information from the market interest rate term structure that is relatively pure, economically meaningful, real-time and forward-looking, and explore their applications to various macro and micro decisions. The project applicant has extensive research experience in implied information and interest rate models. If successful, this project could advance existing interest rate model research from "fitting reality" to "applying it to reality", promoting the interactive development of theories and applications; it could also provide application areas with rigorously refined implied information based on the entire interest rate term structure, with more complete and economically meaningful information, instead of a few selected interest rates or spreads.