（1. 东北财经大学产业组织与企业组织研究中心；2. 东北财经大学金融学院）

【摘要】在考虑时变期限溢价的基础上，本文采用结构变点方法，对中国银行同业拆借利率进行预期假说检验，并分析宏观经济因素对预期假说检验的影响。经验结果显示，1996年1月至2011年4月间，银行同业拆借利率在不同区间存在共同的趋势性，长短期利差对未来短期利率变动的预测存在多个结构变点；不同区间内预期假说基本上被拒绝，时变期限溢价对预期假说检验的影响不大，而宏观因素在不同区间的影响不一样。

关键词  结构变点  时变期限溢价  预期假说  银行同业拆借利率

中图分类号  F833.2      文献标识码  A

Structure Break, Time-varying Term Premium

and the Expectations Hypothesis

Abstract：Taking account of the time-varying term premium, this paper analyses the effect on the Expectations Hypothesis of interbank interest rates by using multiple structural change models, and discuses the relationship between the structure break of macroeconomic factors and the tests. Our empirical results show that there are multiple structure breaks in interbank interest rates in the sample period of 1996.1 and 2011.4, and they have the same trend in a subinterval. The Expectations Hypothesis is mostly rejected in these subintervals, and time-varying term premium doesn’t have the dominative role, while the macroeconomic factors take different effects in different subintervals.

Key words：Structure Break；Time-varying Term Premium；Expectations Hypothesis； Interbank Interest Rates