Anticipation Effects On Economic Growth With Term Structure Of Interest Rates

Term structure of interest rates in both theoretical and empirical research has been widely used,because it contains lots of information about the future macroeconomic.Unlike classical statistical measurement model,the Bayesian model averaging method with in the process of modeling a huge advantage that can handle the model uncertainty problems,researchers in the field of economic and other fields has been consistent high praise,and has been widely used.This paper is the first attempt to apply this method to the term structure of interest rates in anticipation of future economic growth.Using the spread with different maturities as the independent variable from the inter-bank bond market in our country,respectively by stepwise linear regression method and Bayesian model averaging method for different future spreads and the relationship between the economic growth of empirical research,comparing their results,the following conclusions are drawn:(1)Trough simple descriptive statistics method,found that spreads between 2007 and 2009 appear larger fluctuation and economic growth in 2008 appear larger fluctuation may exist correlation,speculated that short-term and long-term spreads and economic growth has certain relevance.(2)To future economic growth,longer-term interest rate spreads ability is weak,the medium and long term forecast ability is relatively strong,in addition to short-term economic growth,spreads the prediction effect is better,but for the next three months,six months and one year's economic growth,the model shows that spreads prediction effect poorer.