利率期限结构是否包含了预测汇率变动的信息？

邓明 吴亮

摘要：由于利率期限结构中包含未来经济运行的信息，本文首次利用2006年4月到2014年12月中美两国利率期限结构的月度数据，通过动态Nelson-Siegel模型抽取两国利率期限结构的相对水平、相对斜率和相对凸度三个相对因子，基于三个相对因子检验其对人民币兑美元汇率的预测能力。实证研究表明：第一，相对因子模型对汇率在1个月到12个月的预测期具有可预测性，相对水平因子或相对斜率因子增加1%分别导致人民币升值1%和2%，而相对凸度因子增加1%会导致人民币贬值1%；第二，基于CW检验统计量的滚动窗预测表明，在所考虑的各个滚动窗和预测期下，相对因子模型的预测能力优于随机游走模型和非抛补利率平价模型。因此，可以利用利率期限结构中的信息提高预测汇率变动的精度。

关键词：利率期限结构 汇率预测 相对因子 动态Nelson-Siegel模型

中图分类号：F832.5 文献标识码：A

Does Term Structure of Interest Rate Include Information to Forecast Exchange Rate？

Deng Ming Wu Liang

Abstract: Since the term structure of interest rates embodies information about future economic activity, this paper uses dynamic Nelson-Siegel model to extract relative level, slope and curvature based on monthly data of interest rate of term structure of China and United States from April 2006 to December 2014 and analyses forecasting ability of relative factors on RMB to US Dollar exchange rate. The empirical study shows that: first, the relative factors model can predict exchange rate changes 1 to 12 months ahead,1% increase in relative level or slope predicts 1% and 2% annualized appreciation of the Renminbi respectively,1% increase in relative curvature predicts 1% annualized depreciation of the Renminbi; Second, the rolling window forecasting based on Clark-West statistics shows that relative factors model outperforms random walk model and uncovered interest parity model for any given rolling windows and forecasting periods. The results reveal that we can improve the prediction accuracy of exchange rate by use of the information included in term structure of interest rate.

Keywords: Term Structure of Interest Rates Exchange Rate Predictability Relative Factors Dynamic Nelson-Siegel Model