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本文对我国国债收益率曲线的宏观经济变量预测能力进行实证检验。首先,通过Nelson-Siegel模型测算我国国债收益率曲线的水平因子、斜率因子及曲率因子;其次,利用Probit模型检验收益率曲线的三个因子对我国宏观经济周期波动及通货膨胀率的预测能力。研究结果表明,国债收益率曲线的三个因子对未来宏观经济周期有较好的预测作用,但对未来通货膨胀率无法进行有效预测。
This paper tests the ability of China’s government bond yield curve to predict the macroeconomic variables. First, we use the Nelson-Siegel model to measure the horizontal factor, slope factor and curvature factor of China’s bond yield curve. Secondly, Probit model is used to test the ability of the three factors of the yield curve to predict the volatility of China’s macroeconomic cycle and the inflation rate. The results show that the three factors of the yield curve of government bonds have a good forecast effect on the macroeconomic cycle in the future, but the future inflation rate can not be effectively predicted.