earticle

영어

In the previous study, the predictive power of “Expected Short-term rate”, which is known to be closely related to the accuracy of future economic prediction, was lowered by the long-term low interest rate and quantitative easing policies. Instead, the prediction of “Term Premium” increased due to the increased uncertainty in a recent Western study. Research is centered on studies conducted regarding the US economy. In the study, the predictive power of “Expected Short-term rate” and “Term Premium” was verified by using individual real economy variables such as export, import, and industrial production as dependent variables instead of using GDP as a dependent variable. As a result, the predictive power of “Expected Short-term rate”, which was the traditional opinion of China, was found to be very strong, and “Term Premium” was statistically significant only for models that excluded “Expected Short-term rate.” Even though some “Expected Short-term rate” variables were controlled, it was found that they did not have statistically significant explanatory power. However, it was considered statistically significant in the model excluding “Expected Short-term rate.” It has been confirmed that “Term Premium” does not act as noise in future economic predictions. Lastly are the analysis results of the impact factors of “Term Premium” in China and the US. In China, inflation clearly showed a significant impact on “Term Premium”, and in the United States, inflation did not significantly affect “Term Premium” though industrial production had a clear effect. This can be interpreted to be because China has a macroeconomic structure sensitive to inflation, while the United States is showing the patten of exporting inflation through the key currency of the dollar.