利率預測與利率期限結構之關聯

Abstract

本篇論文目的在探索一個架構用以研究在Ho & Lee(1986)利率模型下，利率預測與利率期限結構之關聯性。藉著分段的方法，估計Ho & Lee 模型的參數，以符合被觀察的期限結構曲線。我們使用1986年到2005年的美國資料，結果顯示Ho & Lee 模型在利率的預測上有不錯的表現。除此之外，對Ho & Lee 模型在以三個月為間隔的聯邦基金目標利率的預測上亦有不錯的表現，但是以六個月為間隔的聯邦基金目標利率的預測則表現的不佳。另外我們亦研究貨幣政策的預測與整體期限結構變動的關聯性。其結果顯示聯邦基金目標利率用在預測利率期限結構的趨勢改變上，沒有好的預測能力。

This paper explores a framework to study the connection of the interest rate prospection and the term structure of interest rate under the Ho and Lee (1986) model. By a calibration method, it estimates the parameters of Ho-Lee model to fit the observed term structure curve. Using the data during 1986-2005, the results of the predictive ability of the Ho and Lee model indicate that the model performs well in interest rate expectation. Besides, the results of the predictive ability of the Ho and Lee model for Fed Funds target rate indicate that the model performs well with the three-month lagged target rate, but poor with the six-month lagged target rate. Besides, we test the connection of the monetary policy expectation and the whole term structure movements including the short-term interest rate movements and the long-term interest rates movements. The results indicate that the Fed Funds target rate plays a poor role in forecasting the trend of the term structure movements.