|
|
|
| Analysis of Inflation Expectations in China and Their Determinants: Based on a Mixed Frequency No-arbitrage Nelson-Siegel Extended Model |
| HONG Zhiwu, NIU Linlin
|
| The Wang Yanan Institute for Studies in Economics, Xiamen University |
|
|
|
|
Abstract Stabilizing inflation expectations is a prerequisite for the effective implementation of monetary policy. Scientifically measuring inflation expectations and analyzing the influencing factors are fundamental to the effective management of the macroeconomy and financial markets for investors, entrepreneurs, and policy makers. Both domestic and international economic and policy environments have recently changed drastically, particularly due to the 2020 COVID-19 pandemic, which is ongoing at the time of writing. A balance must be struck between the prevention and control of the pandemic and the development of the domestic economy. Inflation components such as industrial product prices and food prices have become structurally differentiated. Thus, accurately capturing the degree of inflation expectations and their changes attracts extensive attention from market investors and policy makers. Chinese scholars take two main approaches to exploring the nature, management, and determinants of inflation expectations. The first approach is to extract information on inflation expectations from modeling yield data and the actual inflation rate, but this ignores the influence of many macro factors and the underlying mechanisms. Quarterly frequency data can also be considered, but this approach is limited by the availability of low-frequency macro data. To utilize data more efficiently, we construct a mixed frequency no-arbitrage Nelson-Siegel (NS) extended model that jointly models the yield factors and macro variables of different frequencies under theoretical consistency, decomposing information on inflation expectations with various maturities from the Treasury yield curve. Our study makes two main novel contributions to the literature. First, we theoretically derive a mixed frequency no-arbitrage NS extended model containing GDP growth and other macro variables. The model has the characteristics of theoretical consistency and information efficiency. Under the theoretical constraint of consistent pricing of bonds of different maturities, we extract the term structure of inflation expectations, which can well reflect the level of and changes in inflation in China from the bond market and macro-financial variables with different frequencies. Second, in terms of application, we construct a framework for analyzing the factors affecting the term structure of inflation expectations. Unlike the traditional no-arbitrage model, our model guarantees the consistency of theoretical pricing through no-arbitrage conditions in combination with the simplicity of the traditional NS model. We also use the Markov chain Monte Carlo Gibbs sampling method for parameter estimation, and the results are relatively stable, with a good fit for the yield curve. In addition, the model considers and estimates mixed frequency data and effectively utilizes information from quarterly data at a monthly frequency, which overcomes the double defects of sample information loss and time delay encountered when analyzing quarterly data. In light of previous research, our macro variables include various important macroeconomic indicators with both monthly and quarterly frequencies, which may affect inflation expectations. We model these macro variables jointly with the Treasury yield curve. The sample period is from April 2006 to February 2020, with data obtained from the Wind Database. The key empirical results of this paper are as follows. First, the model fits the yield curve of Treasury bonds well. Second, the model infers a reasonable expected term structure of inflation, which is consistent with the Lang-Run forecast at quarterly frequencies. The agreement between the model's implied expectations and the survey data is greater after 2012, indicating that the model can extract more accurate macro information from the financial market as China's bond market gradually develops and improves. Third, our analysis of factors affecting inflation expectations shows that 1) the level of inflation expectations is mainly determined by the money supply growth rate, inflation rate, and global food price changes; 2) the short-to medium-term inflation expectation significantly responds to various macroeconomic variables; and 3) yield factors contribute most of the variance in future mid-to long-term inflation expectations, indicating that future inflation uncertainty is reflected in bond pricing.
|
|
Received: 05 November 2018
Published: 30 December 2020
|
|
|
|
|
| [1] |
卞志村和张义,2012,《央行信息披露、实际干预与通胀预期管理》,《经济研究》第12期,第15～28页。
|
| [2] |
郭豫媚和陈彦斌,2017,《预期管理的政策实践和改进措施》,《中国人民大学学报》第5期,第60～67页。
|
| [3] |
何启志和姚梦雨,2017,《中国通胀预期测度及时变系数的菲利普斯曲线》,《管理世界》第5期,第66～78页。
|
| [4] |
黄益平、王勋和华秀萍,2010,《中国通货膨胀的决定因素》,《金融研究》第6期,第46～59页。
|
| [5] |
李春琦和翁毅,2012,《我国居民通胀预期的测度:基于银行间债券市场数据的方法》,《财经研究》第38期,第69～79页。
|
| [6] |
牛霖琳、洪智武和陈国进,2016,《地方政府债务隐忧及其风险传导——基于国债收益率与城投债利差的分析》,《经济研究》第11期,第83～95页。
|
| [7] |
尚玉皇、郑挺国和夏凯,2015,《宏观因子与利率期限结构:基于混频Nelson-Siegel模型》,《金融研究》第6期,第14～29页。
|
| [8] |
孙毅、吕本富、陈航和薛添,2014,《大数据视角的通胀预期测度与应用研究》,《管理世界》第4期,第171～172页。
|
| [9] |
王维安和贺聪,2005,《 房地产价格与通货膨胀预期》,《财经研究》第12期,第64～87页。.
|
| [10] |
汪莉和王先爽,2015,《央行预期管理、通胀波动与银行风险承担》,《经济研究》第10期,第34～48页。
|
| [11] |
肖争艳、姚一旻和唐诗磊,2011,《我国通货膨胀预期的微观基础研究》,《统计研究》第3期,第8～14页。
|
| [12] |
徐亚平,2010,《通货膨胀预期形成的模型刻画及其与货币政策的关联性》,《金融研究》第9期,第19～33页。
|
| [13] |
张成思和党超,2016,《谁的通胀预期影响了货币政策》,《金融研究》第10期,第1～15页。
|
| [14] |
曾耿明和牛霖琳,2013,《中国实际利率与通胀预期的期限结构——基于无套利宏观金融模型的研究》,《金融研究》第1期,第24～37页。
|
| [15] |
张健华和常黎,2011,《哪些因素影响了通货膨胀预期——基于中国居民的经验研究》,《金融研究》第12期,第19～34页。
|
| [16] |
中国经济增长与宏观稳定课题组,张平、刘霞辉、张晓晶和汪红驹,2008,《外部冲击与中国的通货膨胀》,《经济研究》第5期,第4～18页。
|
| [17] |
Aruoba, S. B., 2020. “Term Structure of Inflation Expectations and Real Interest Rates”, Journal of Business and Economic Statistics, 38(3):542～553.
|
| [18] |
Ang, A., G. Bekaert and M. Wei, 2008. “The term structure of real rates and expected inflation”,The Journal of Finance, 63:797～849.
|
| [19] |
Carlson, J.and M.Parkin, 1975. “Inflation Expectations”, Economica, 42(166):123～138.
|
| [20] |
Chernov, M. and P. Mueller, 2012. “The term structure of inflation expectations”, Journal of Financial Economics, 106:367～394.
|
| [21] |
Christensen, J. H., F. X. Diebold and G. D. Rudebusch, 2011. “The affine arbitrage-free class of Nelson-Siegel term structure models”, Journal of Econometrics, 164:4～20.
|
| [22] |
Christensen, J. H., J. A. Lopez and G. D. Rudebusch, 2010. “Inflation Expectations and Risk Premiums in an Arbitrage‐Free Model of Nominal and Real Bond Yields” Journal of Money, Credit and Banking, 42:143～178.
|
| [23] |
Dai, Q. and K. J. Singleton, 2000. “Specification analysis of affine term structure models”, The Journal of Finance, 55:1943～1978.
|
| [24] |
Dai, Q. and K. J. Singleton, 2002. “Expectation puzzles, time-varying risk premia, and affine models of the term structure”, Journal of Financial Economics, 63:415～441.
|
| [25] |
D'Amico, S., D. H. Kim and M. Wei, 2018. “Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices”, Journal of Financial and Quantitative Analysis, 53:395～436.
|
| [26] |
Garcia, J. A. and T. Werner, 2010. “Inflation Risks and Inflation Risk Premia”, Mimeo, European Central Bank.
|
| [27] |
Diebold, F. X. and C. Li, 2006. “Forecasting the term structure of government bond yields”, Journal of Econometrics, 130:337～364.
|
| [28] |
Evans, G. W., and S. Honkapohjia, 2001. “Learning and Expectation in Macroeconomics”, Princeton: Princeton University Press.
|
| [29] |
Hong, Z., L. Niu, and G. Zeng, 2019. “US and Chinese yield curve responses to RMB exchange rate policy shocks: An analysis with the arbitrage-free Nelson-Siegel term structure model”, China Finance Review International, 9(3):360～385.
|
| [30] |
Hori, M. and S. Shimizutani, 2005. “Price expectations and consumption under deflation: evidence from Japanese household survey data”, International Economics and Economic Policy, 2:127～151.
|
| [31] |
Joyce, M. A., P. Lildholdt and S. Sorensen, 2010. “Extracting inflation expectations and inflation risk premia from the term structure: a joint model of the UK nominal and real yield curves”, Journal of Banking & Finance, 34:281～294.
|
| [32] |
Li, C., L. Niu and G. Zeng, 2011. “A Generalized Arbitrage-Free Nelson-Siegel Term Structure Model with Macroeconomic Fundamentals”, SSRN Electronic Journal, DOI: 10.2139/ssrn.1787262.
|
| [33] |
Leduc, S., K. Sill and T. Stark, 2007. “Self-fulfilling expectations and the inflation of the 1970s: Evidence from the Livingston Survey”, Journal of Monetary Economics, 54:433～459.
|
| [34] |
Mariano, R. S. and Y. Murasawa, 2003. “A New Coincident Index of Business Cycles Based on Monthly and Quarterly Series”, Journal of Applied Econometrics, 18(4):427～443.
|
| [35] |
Nelson, C. R. and A. F. Siegel, 1987. “Parsimonious modelling of yield curves”, Journal of Business, Vol. 60, pp. 473～489.
|
| [36] |
Ueda, K., 2010. “Determinants of households' inflation expectations in Japan and the United States”, Journal of the Japanese and International Economies, 24:503～518.
|
| [37] |
Vasicek, O., 1977. “An equilibrium characterization of the term structure”, Journal of Financial Economics, 5:177～188.
|
| [38] |
Woodford, M., 2003. “Interest and Prices: Foundations of a Theory of Monetary Policy” Princeton: Princeton University Press.
|
|
|
|
