Term Spread의 분해와 구성요소의 경기예측력 분석 = Study on the Decomposition of Chinese Term Spread and the Predictive Power of the Components of Term Spread for the Economy

다국어 초록 (Multilingual Abstract)

There has been a recent research stating that, among the components of Term Spread that are widely recognized in the academic world as having a superior predictive power for the economy when compared to other leading variables, the predictability of “expected short-term interest rate” has decreased dramatically and the predictive power of “term premium” has expanded especially in countries that adopted with low-interest policy such as United States. In this context, the purpose of this study is to analyze whether the same phenomenon is happening in China by conducting various experiments.
The experiment was divided into intra-sample prediction and out of sample prediction. In the intra-sample prediction, two factors “rate of change GDP” and “recession” were set as dependent variables and empirical analysis was conducted on each. When the rate of change of GDP was the dependent variable, the predictive power of Term Spread mainly stemmed from the “expected part of future short-term interest rate”, and this trend does not show a decreasing trend later in the rolling test results but term premium appeared to act as noise.
Interesting results were obtained when recession was used as a dependent variable. It was observed that although Term Spread gives a statistically significant signal to the recession, the explanatory power is significantly less than when using the “expected short-term interest rate”, “term premium”, “future short-term interest rate” + “term premium”.
In addition, the significance of “expected part of future short-term interest rate” is very robust, exceeding the threshold of 2 in both the backward and forward rolling regression analysis.
Therefore, it could be confirmed the predictive power of Term Spread in China still depends heavily on the “expected short-term interest rate”, and that the recent phenomenon that was observed in the US was not happening in China.

국문 초록 (Abstract)

경기예측력이 다른 선행변수들보다 우월한 것으로 학계에서 널리 인정받고있는 Term Spread의 구성요소 중 최근 특히 미국과 같은 저금리 정책 실행국가들에서 “미래 단기금리 기대부분”의 예측력이 크게 감소하고 “기간프리미엄” 의 예측력이 최근 확대되었다는 연구결과가 나왔다. 이에 본 연구에서는 중국에서도 같은 현상이 벌어지는 지를 확인하는 것을 목적으로 하여 다양한 실험을 통해 이에 대해 분석을 진행하였다

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