Information content of the hidden factor: Evidence from the China's treasury bond market

被引：0
|
作者：
Zheng Z. [1 ]
Liao M. [1 ]
Chen R. [1 ]
Huang H. [1 ]
机构：
[1] Department of Finance, Xiamen University, Xiamen
来源：
Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice | 2016年 / 36卷 / 01期
基金：
中国国家自然科学基金;
关键词：
Hidden factor; Information content; Term premium;
D O I：
10.12011/1000-6788(2016)01-0044-11
中图分类号：
学科分类号：
摘要：
The hidden factor is the information that has no or little effect on the current interest rate curve but affects the expected interest rates. Using the hidden factor idea proposed by Duffee, we find that the variance ratio of the five-factor model in China's treasury bond market is only 0.41, which confirms the existence of the hidden factor. Then we exclude the interest rate curve information from the risk premium factor to get the hidden factor, and confirm that the hidden factor in China does contain a wealth of economic information content. It is closely linked with the inflation and the macro-liquidity, especially the inflation information. But the hidden factor has little to do with the economic growth information. At last we find the hidden factor in China has rather great power on predicting future interest rate. © 2016, Systems Engineering Society of China. All right reserved.
引用
收藏
页码：44 / 54
页数：10
相关论文
共 20 条
  • [1] Duffee G.R., Information in (and not in) the term structure, Review of Financial Studies, 24, pp. 2895-2934, (2011)
  • [2] Joslin S., Priebsch M., Singleton K.J., Risk premiums acoutting in macro-dynamic term structure models, (2009)
  • [3] Barillas F., Unspanned risk premia in the term structure of interest rates, (2011)
  • [4] Fama E.F., Bliss R.R., The information in long-maturity forward rates, The American Economic Review, 77, 4, pp. 680-692, (1987)
  • [5] Campbell J.Y., Shiller R.J., Yield spreads and interest rate movements: A bird's eye view, Review of Economic Studies, 58, 3, pp. 495-514, (1991)
  • [6] Cochrane J.H., Piazzesi M., Bond risk premia, American Economic Review, 95, pp. 138-160, (2005)
  • [7] Kim D.H., The bond market term premium: What is it, and how can we measure it?, BIS Quarterly Review, pp. 27-40, (2007)
  • [8] Zheng Z.L., Wu Y.L., Interest rate risk premium: Ex-post and ex-ante methods, Journal of Financial Research, 10, pp. 68-82, (2009)
  • [9] Dai Q., Singleton K.J., Expectation puzzles, time-varying risk premia, and affine models of the term structure, Journal of Financial Economics, 63, pp. 415-441, (2002)
  • [10] Chen R., Zheng Z.L., Unbiased estimation, price discovery and market efficiency: Relationship between futures prices and spot prices, Systems Engineering-Theory & Practice, 28, 8, pp. 2-11, (2008)
12