The Forecast Ability of Forward Rates in the Term Structure:An Empirical Study on the Expectation Hypothesis with Term Premium Revised
检验了期限结构中远期利率对未来即期利率的预测能力，发现考虑时变期限溢价后，远期利率包含未来即期利率信息，预期假说不能被拒绝，对央行观察市场预期和判断货币政策立场有参考价值。
In this paper,the forecast ability of the forward rates implied by die term structure to the future spot rates is tested.The results show that there are time-various term premium in the term structure,which explains the expectation puzzle.If the term premium factors considered,the forward rates contain of the information of future spot rates,and we cannot reject the expectation hypothesis,which is important to the central banker when observing die market's expectation on the future economy and future rates as well as judge the real monetary position.Also,our findings provide theoretical support to China's further interest liberalization and indirect monetary policy implementation.