用θ模型预测倒挂收益率曲线风险的朴素方法

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2025-09-22 DOI:10.1016/j.frl.2025.108515

Tianhao Ouyang, Guobin Qiu, Haolun Wang, Huamai Chen

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引用次数: 0

摘要

当在收益率曲线或期限结构中，长期或中期债券利率低于短期利率时，这种现象被称为收益率曲线倒挂（IYC）。在过去的20年里，国际青年基金之后最严重的灾难是08年的金融危机。IYC表明，从长期来看，经济风险将远远高于短期。因此，对IYC的预测可以争取更多时间来确认即将到来的不稳定，如果不是彻底的金融和经济动荡的话。本文提出了一种通过测量兴趣预测误差来预测IYC的naïve方法。这种方法表明，在国际货币基金组织（IYC）之前会出现一个清晰的“硬X形”，这可能会给投资者或监管机构带来几个月的早期预警，以便准备财务或其他方面的应对措施。

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A naive approach to forecast inverted yield curve risk with theta model

When in yield curve or term structure, the long or mid-term bond interest rate became lower than short-term interest, the phenomenon is called inverted yield curve (IYC). In the last 20 years, the most severe catastrophe after an IYC is the 08 Financial Crisis. IYC indicates that in the long run, the economic risk will be much higher than the short run. Thus, a prediction on IYC can buy more time to confirm an upcoming instability if not outright financial and economic turbulence. This paper presents a naïve approach to forecast IYC by measuring interests-prediction errors. The method indicates a clean “Hard X shape” comes before IYC which could bring investors or regulators an early warning with a few months’ lead for preparing financial or other aspects of counter-measures.

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance