远期利率为什么会下降？

货币政策对当前利率和今后一二年的利率预期影响特别大。自从2004年6月，今后二三年的利率预期（一年期）大约上升了1.5个百分点，但是10年期国债的收益率几乎没变，这就意味着远期的利率预期下降了。事实上，从货币政策开始紧缩以来，对9年后的一年期利率预期已经下降了1.5个百分点。通过比较普通国债和通胀指数化国债，可以发现对远期利率预期的下降，三分之二是因为收益率下降，三分之一是由于通货膨胀预期的下降。

收益率曲线平坦化是一个普遍的趋势，不仅出现在国债上，也出现在企业债上，并且其他国家的收益率曲线也有类似趋势。

远期利率为什么会下降？

目前有两种不同角度的解释（它们并不是互斥的）。一种解释立足于宏观经济条件，另一种立足于与经济形势无关的对长期证券的需求。

对长期证券的需求

远期利率可以被分解为两个部分：（1）远期某个时点的预期利率；（2）投资者要求对持有长期证券的风险补偿，这被叫做风险升水（Term Premium）。如果宏观经济条件保持稳定，那么对长期证券的需求变化主要反映在风险升水上。如果需求上升，投资者就会要求更低的风险补偿，所以风险升水会下降。

有研究报告指出，长期利率预期的下降主要是由于风险升水的下降导致的（注1）。根据这些模型，我们能进一步将风险升水分为两部分，一部分是对真实利率变动的风险补偿，另一部分是对通货膨胀的风险补偿。研究发现，这两种风险补偿都有下降趋势。。但是，从2004年6月开始的风险升水下降主要是因为对真实利率变动的风险补偿的下降。

至少有四种解释，关于为什么对长期证券的需求开始增加，进而导致了风险升水的下降。

首先，因为通货膨胀下降了，对通货膨胀的预期也稳定了，以及宏观经济的波动性也在降低，所以长期债权变得更有吸引力了。回顾过去，我们可以看到自从80年代中期以来，美国以及其他西方工业化国家的真实GDP增长和通货膨胀的波动都在下降。这个现象，经济学家将其称之为“大缓和”（Great Moderation）。货币政策水平的提高无疑是原因之一，其他如放松管制、存货管理方法的改进、金融市场的风险分担也起到了一定作用（注2）。投资者预期宏观经济稳定还将保持下去，那么他所要求的风险补偿也就降低了，要求的风险升水也就小了。上个世纪五六十年远期利率也是很低，这与那时宏观经济预期稳定有很大关系。

其次，这与一些外国政府（尤其是亚洲一些国家）大量持有美国国债有关，这使得长期国债的收益率下降。2004年的一项研究表明，随着外国政府对美元的大量购买，长期收益率显著下降（注3）。但是，研究也表明这种大宗购买主要针对的收益率的短期效果，对长期的影响是温和的。此外，全球的美元债券市场非常大，大约有25000亿美元，应该是可以吸收这些购买的，对收益率的影响应该是不大的。事实上，最近外国政府对美国国债的购买放慢了速度，但是长期收益率还是不断下降。另一方面，如果外国政府购买美国国债，对国债有显著影响，那么我们应该可以看到国债与公司债之间的利差变大，但这种情况并没有出现。因此，海外美元储备的积累对美国的收益率有影响，但不是主要因素。

再次，养老金的运用和管理对收益率也有影响。现在的趋势是养老金更多的将其资产和负债进行久期匹配。工业化国家的老龄人口在增加，所以养老金也在增加，因此对长期债券的需求也在增加。目前，直接反应这种趋势的数据还不多，但是市场参与者对此有普遍预期。

最后，随着最近几年投资者对长期债券的需求增加，但是它们的供给并没有增加。未偿还国债的平均年限，从2001年的最高点已经降低了1.5年。不过，随着财政部重新发行30年期国债，这种趋势可能会发生变化。另一方面，家庭和公司充分利用目前的低利率环境，延长了其债务的偿还年限，这在一定程度上弥补了长期国债的减少。

注1：Don H. Kim and Jonathan H. Wright (2005), "An Arbitrage-Free Three-Factor Term Structure Model and the Recent Behavior of Long-Term Yields and Distant-Horizon Forward Rates," Finance and Economics Discussion Series 2005-33 (Washington: Board of Governors of the Federal Reserve System, August).

注2：Ben S. Bernanke (2004), "The Great Moderation," speech delivered at the meetings of the Eastern Economic Association, Washington, D.C., February 20.

注3：Ben S. Bernanke, Brian P. Sack, and Vincent R. Reinhart (2004), "Monetary Policy Alternatives at the Zero Bound: An Empirical Assessment," Brookings Papers on Economic Analysis (2), pp. 1-100.

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The Recent Behavior of Longer-Term Yields
Some discussion of the arithmetic of longer-term yields provides a useful perspective on recent developments in bond markets. The ten-year Treasury yield, for example, can be viewed as a weighted average of the current one-year rate and nine one-year forward rates, with the weights depending on the coupon yield of the security. As I will discuss, each of these forward rates can be split further into (1) a portion equal to the one-year spot rate that market participants currently expect to prevail at the corresponding date in the future, and (2) a portion that reflects additional compensation to the bondholder for the risk of holding longer-dated instruments.

Current and near-term forward rates are particularly sensitive to monetary policy actions, which directly affect spot short-term interest rates and strongly influence market expectations of where spot rates are likely to stand in the next year or two. Indeed, as we would expect, the recent tightening of policy has been accompanied by increases in both the current one-year rate and next few years' forward rates. For example, since June 2004, the one-year forward rate for the period two to three years in the future has risen almost 1-1/2 percentage points. As the ten-year yield is about unchanged even as its near-term components have risen appreciably, it follows as a matter of arithmetic that its components representing returns that are more distant in time must have fallen. In fact, the one-year forward rate nine years ahead has declined 1-1/2 percentage points over this tightening cycle. Incidentally, by comparing forward rates implied by yields on nominal Treasuries with those implied by Treasury securities that are indexed for inflation, we can infer that about two-thirds of the overall decline in far-distant nominal forward rates over this tightening cycle has been associated with a drop in real yields, with the remainder reflecting a drop in inflation compensation.

It is important to note that the marked decline in far-forward interest rates has not been confined to U.S. Treasury securities. The spread in yields between Treasuries and longer-term private securities such as corporate bonds is little changed or is down on net since June 2004, implying that essentially all of the fall in forward rates seen in the Treasury market has occurred in private yields as well. These patterns have also appeared in securities not denominated in dollars. For example, over the same period, longer-term government and swap yields in the United Kingdom and the euro area have moved appreciably lower. Indeed, long-term nominal yields have dropped in a number of countries, often by more than in the United States, and the yield curves in many of these countries are also rather flat or even slightly inverted.

Some Reasons for the Decline in Far-Forward Rates
Why have the far-forward rates implied by the term structure of interest rates declined in recent years? Observers have offered two broad (and not mutually exclusive) classes of explanations. One set of explanations holds that bond yields are reacting to current or prospective macroeconomic conditions. Another set focuses on special factors that may have influenced market demands for long-term securities per se, independent of the economic outlook. I will first consider explanations that emphasize possible changes in the net demand for long-term securities and later return to explanations that focus on the link between bond yields and the economic outlook.

As I have noted, each of the forward interest rates implicit in the term structure can be usefully decomposed into two parts: (1) the spot interest rate that market participants currently expect to prevail at the corresponding date in the future and (2) the additional compensation that investors require for the risk of holding longer-term instruments, known as the term premium. With the economic outlook held constant, changes in the net demand for long-term securities have their largest effect on the term premium. In particular, if the demand for long-dated securities rises relative to the supply, then investors will generally accept less compensation to hold longer-term instruments--that is, the term premium will decline.

To quantify the importance of the shift in the balance of demand and supply and of the consequent change in the term premium, we can appeal to the research literature on the term structure of interest rates. In modern models of the term structure, yields at each horizon are explained by a small number of factors. In some models, these factors can be explicitly tied to observable economic variables, such as inflation; in other models, the factors represent statistical summaries of the data and have no explicit economic interpretations. These factors, in turn, can be used to estimate term premiums at each point in time, although one should clearly acknowledge that the results can be sensitive to various statistical and modeling assumptions.

According to several of the most popular models, a substantial portion of the decline in distant-horizon forward rates over recent quarters can be attributed to a drop in term premiums.² Using some of these models, we can further divide the term premium into two parts--a premium for bearing real interest rate risk and a premium for bearing inflation risk. Both of these components have trended lower over time as well, according to the standard models, but the decline in the premium since last June 2004 appears to have been associated mainly with a drop in the compensation for bearing real interest rate risk.

At least four possible explanations have been put forth for why the net demand for long-term issues may have increased, lowering the term premium. First, longer-maturity obligations may be more attractive because of more stable inflation, better-anchored inflation expectations, and a reduction in economic volatility more generally. With the benefit of hindsight, we now recognize that an important change occurred in the U.S. economy (and, indeed, in other major industrial economies as well) sometime in the mid-1980s. Since that time, the volatilities of both real GDP growth and inflation have declined significantly, a phenomenon that economists have dubbed the "Great Moderation." I have argued elsewhere that improved monetary policies, which stabilized inflation and better anchored inflation expectations, are an important reason for this positive development; no doubt, structural changes in the economy such as deregulation, improved inventory control methods, and better risk-sharing in financial markets also contributed.³ Whatever the reason for the fall in macroeconomic volatility, if investors have come to expect this past performance to continue, they might believe that less compensation for risk--and thus a lower term premium--is required to justify holding longer-term bonds. In that regard, it is interesting to observe that long-term forward rates were also low in the 1950s and 1960s. With long-term inflation expectations apparently anchored at low levels and with the prospect of continued economic stability, market participants may believe that it is appropriate to price bonds for an environment like that which prevailed four or five decades ago.

A second possible explanation of the evident decline in the term premium is linked to the increased intervention in currency markets by a number of governments, particularly in Asia. According to this explanation, foreign official institutions, primarily central banks, have invested the bulk of their greatly expanded dollar holdings in U.S. Treasuries and closely substitutable securities, and these demands by the official sector have put downward pressure on yields. This interpretation has some support, including research that I did with two coauthors that found that longer-term yields came under significant downward pressure during episodes of heavy official purchases of dollars in 2004.⁴ And financial-market participants appear to be especially sensitive to any suggestion that foreign official entities may alter their portfolio preferences.

However, these observations speak more to the existence of a short-term impact of large purchases and sales--the result of limits to liquidity in the very short run--than to the perhaps more important question of whether those transactions have a lasting effect on yields. On this latter issue, clear evidence is harder to come by. Several pieces of indirect evidence suggest that the long-term effect of foreign purchases on yields may be moderate. Notably, the global market for dollar-denominated bonds is enormous--perhaps around $25 trillion, including dollar-denominated debt issued by other countries as well as debt issued abroad by U.S. residents. In the long run, therefore, the market should be able to absorb purchases and sales of large absolute magnitude with relatively modest changes in yields. Indeed, long-term yields continued to fall over recent quarters even as foreign official holdings of Treasury securities increased at a slower pace than previously.

The performance of Treasuries relative to that of other fixed-income instruments also argues against a dominant influence of foreign official portfolio decisions on long-term rates. If foreign official holdings of Treasuries were the source of the decline in their yields, then we would expect to observe increased spreads between yields on Treasury securities and the returns to other types of debt less favored by foreign official holders. But we have not seen a significant widening of private yield spreads relative to Treasuries--quite the contrary--and, as I noted earlier, yields in other industrial economies have fallen as well, in many cases by more than U.S. yields. A reasonable conclusion is that the accumulation of dollar reserves abroad has influenced U.S. yields, but reserve accumulation abroad is not the only, or even the dominant, explanation for their recent behavior.

Changes in the management of and accounting for pension funds are a third possible source of a declining term premium. Reforms proposed in the United States, Europe, and elsewhere are widely expected to encourage pension funds to be more fully funded and to take steps to better match the duration of their assets and liabilities. Together with the increased need of aging populations in the industrial countries to prepare for retirement, these changes may have increased the demand for longer-maturity securities. We have seen little direct evidence to date of sizable pension-fund portfolio shifts toward long-duration bonds, at least in the United States. But judging from anecdotal reports, bond investors might be attaching significant odds to scenarios in which pension funds tilt the composition of their portfolios toward such assets substantially over time.

Fourth and finally, as investors' demands for long-duration securities may have increased over the past few years, the supply of such securities seems not to have kept pace. The average maturity of outstanding Treasury debt, for example, has dropped by 1‑1/2 years since its peak in 2001, a trend just now beginning to turn with the Treasury's reissuance of the thirty-year bond. Corporations and households, however, have taken advantage of low long-term rates to lengthen the duration of their debt in recent years, which has compensated to some extent for the reduced duration of available Treasury debt.

原文题目：

Remarks by Chairman Ben S. Bernanke
Before the Economic Club of New York, New York, New York
March 20, 2006

网址：http://www.federalreserve.gov/boarddocs/speeches/2006/20060320/default.htm

Last motified on 2006-03-28 17:39:57