中文摘要：

借鉴埃斯特雷亚（Estrella）和哈多维利斯（Hardouvelis）的方法检验中国国债长短期利差对宏观经济增长的预测能力,结果表明长短期利差对未来1—5个月和15—17个月的宏观经济增长变动具有显著预测能力。应用VAR模型获取货币政策冲击信息,将长短期利差分解为货币政策冲击因素和非货币政策冲击因素,考察长短期利差预测能力的影响因素,发现长短期利差的短期预测能力主要受货币政策冲击因素影响,中期预测能力主要受非货币政策冲击因素影响。表明央行实施影响国债长短期利差的货币政策可以间接影响短期宏观经济增长预期。对于金融市场主体,可以通过观察短期货币政策变动对国债长短期利差的影响预测短期经济增长趋势。研究结果表明,货币当局应重视通胀预期管理,并将利率期限结构作为货币政策预期管理的重要工具。

英文摘要：

In light of the method created by Estrella and Hardouvelis,this paper checks the ability of the short and long term yield spread to forecast macroeconomic growth.The results show that the yield spread has a significant predictive power for the changes of macroeconomic growth in the next 1-5 months and 15-17 months.Further more,for studying the critical factors influencing the yield spread forecasting capabilities,we use VAR model to obtain the shocks of monetary policy,then descompose the yield spread into the shocks of monetary policy and non-monetary policy.The results show that the forecasting capability of the yield spread is mainly affected by the impact of monetary policy factors in short term,while it is mainly affected by the impact of a non-monetary policy factor in medium term.Empirical Evidence shows that the monetary authorities could formulate some targeted monetary policies to affect the yield spread of national bonds,and these policies also implement an impact on short-term macroeconomic growth indirectly.As for the financial market players,they can predict the short-term economic growth trends by observing the effects of changes in monetary policy for the yield spread of national bonds.The results show that the monetary authorities should pay attention to managing inflation expectations,and make the term structure of interest rates as an important tool in the management of monetary policy expectations.