中文摘要：

以利率预期假说理论模型和相关推论为基础，采用因子分解技术，将两个利率序列分解成长期记忆成分和短暂成分，并通过将短暂成分对利率价差进行回归，检验国债回购市场长短期利率价差的预测能力。结果表明，在两个样本区间上，利率价差对去除长期记忆成分后未来利率变化的短暂成分的预测能力均显著增强，而对于短期利率序列的纯长期记忆成分的预测能力则很差。证实了短期利率的变动主要是由利率序列的长期记忆成分所决定的。

英文摘要：

The paper, on the basis of giving theoretical models and associated deductions of expectation hypothesis of interest rate term structure, firstly gives a test of the two government bond repo market＇s interest rate series with unit root and cointegration method. Then, under the framework of weak version of interest rate expectation hypothesis and error correction model, the paper decomposes the two interest rate series into long-memory cornponents （or common factor） and transitory component by using factor decomposition procedure, regresses the transitory components to interest rate spread to test the predictive power of long-short interest rate spread in gov- ernment bond repo market. The results show that, for the two sub-samples, interest rate spread can provide significant predictive power for future short term interest rate when the permanent component is removed from short term interest rate series, but get weak predictive power for the permanent component. Thus, it proves that the variation of short term interest rate is mainly due to long-memory component or permanent component. In addition, the analysis of the normalized factor loading matrix indicates that the process for adjusting to restore longterm equilibrium relationship subject to the shock of exogenous new information is achieved by repo rate R182.