资产价格中隐含通货膨胀信息的提取、分析与应用

Inflation expectation performs a significant role in macro-economic policy making and operability. Compared with the inflation information got by traditional methods, the inflation information implied in financial asset price possesses many good qualities such as instantaneity, forward looking, accuracy and higher frequency. We integrate inflation into the asset pricing analyzing framework and establish an exercisable inflation implied asset pricing model. Based on this model, three kinds of assets, including interest rate related assets, inflation derivatives and commodity futures are analyzed and appropriate methods are adopted to extract inflation information. Extracted information is multi-dimensional deliberated and comprehensively analyzed in aspects of category, spatial relation, time series, term structure and correlation structure. A real-time inflation expectation index based on financial asset price is proposed, and the applications of the implied inflation information in theoretical analysis, macro-economy and micro-financial market are discussed. Our contribution focuses on the new perspective that extracting inflation information from financial asset price; the forward looking quality of financial asset price and information gathering effect of financial market are effectively integrated into the analyzing system of the inflation expectation problem. Dealing with the macro-economic issues from the micro-perspective, our innovation brings about more efficiency, precision, practicality and applicability. It is also a significant contribution that a general model framework with empirical practicality is established and the implied inflation information is comprehensively analyzed and exploited.

通胀预期在宏观经济政策的制订和执行中具有重要作用。相较传统的通胀信息提取方法，从金融资产价格中提取隐含的通胀信息具有即时性、前瞻性、真实性、频度高等优点。本课题将通胀因素纳入资产定价的分析框架，构建一个具实证可操作性的含通胀资产定价模型，基于此从利率类资产、通胀类衍生品和商品期货的价格中运用合理技术方法提取隐含通胀信息，对其品种、空间、时间序列、期限结构和相关性等特征展开多维度解读和比较分析，综合提炼实时的通胀预期指标，并探索其在理论研究、宏观经济和微观金融市场中的广泛运用。本课题的创新在于从金融资产价格中提取通胀信息的全新视角，将资产价格的预期特性和微观金融市场的信息积聚效应融合到宏观通胀预测的研究体系中，以微观视角为宏观研究提供更具效率与精度、更富可操作性和应用性的创新研究。本课题所构建的具实证可操作性的一般模型框架以及对隐含通胀信息的深度解读和综合运用，亦具有重要创新价值。

本课题完全按照研究计划组织和实施，圆满而出色完成了既定的研究任务。此外，本课题组还围绕着本课题的研究主题开展研究，并在国内外学术期刊上发表及录用了36篇学术论文。我们通过从金融资产价格中提取隐含的通胀信息的方式，将资产价格的预期特性和微观金融市场的信息积聚效应融合到宏观通胀预测的研究体系中，以微观视角为宏观研究提供更具效率与精度、更富可操作性和应用性的创新研究。具体的，我们将通胀因素纳入资产定价的分析框架，构建一个具实证可操作性的含通胀资产定价模型，基于此从利率类资产和通胀类衍生品等金融资产的价格中运用合理技术方法提取隐含通胀信息，对其品种、期限结构和相关性等特征展开多维度解读和比较分析，并探索其在理论研究、宏观经济和微观金融市场中的广泛运用。