纳入宏观经济因子的利率期限结构预测模型构建——基于主协变量回归(PCovR)和动态Nelson-Siegel方法

The Construction of Term Structure Forecasting Model of Interest Rates Incorporating Macroeconomic Factors——Based on Primary Covariate Regression(PCovR) and Dynamic Nelson-Siegel Method

本文基于我国国债收益率曲线所构建的包含宏观经济因子的期限结构模型,利用主协变量回归方法(PCovR),从宏观经济变量中提取出影响国债利率期限结构的主成分信息,再通过系数矩阵和脉冲响应对利率期限结构的宏观影响因素进行具体分析,并将包含宏观主成分的动态Nelson-Siegel模型用于样本外收益率的预测。研究结果表明,本模型对未来一期国债收益率的预测准确度在整体上优于不包含宏观经济因子以及采用传统主成分分析法提取宏观经济因子的模型:相较于不含宏观经济因子的模型,本模型对2个月—5年的中短期国债收益率的预测准确度提升最高;相较于传统主成分分析模型,本模型对中长期国债收益率的预测效果更好。本文进一步分析了不同类型宏观经济变量对不同期限国债收益率的影响,充分挖掘了国债收益率曲线所蕴含的宏观经济信息,为提取宏观经济因子提供了有效方法,为识别利率期限结构变化规律提供了科学依据,为货币政策制定和债券投资提供了决策参考。

This paper proposes a term structure model including macroeconomic factors for the yield curve of Chinese government bonds.The principal covariate regression method(PCOVR)is used to extract the principal component information that affects the term structure of interest rates from a range of macroeconomic variables,and then analyzes the macroscopic factors affecting the term structure of interest rates through coefficient matrices and impulse responses.At last,the dynamic Nelson-Siegel model of the components is used for the prediction of out-of-sample returns of bonds.The results show that the prediction accuracy of the model in this paper is better than that of the model not including macro factors and the model using the traditional principal component analysis method to extract macro factors.Especially,compared with the model without macro factors,the model in this paper has higher improvement in the prediction accuracy of short-term and medium-term rates for 2 months to 5 years.While compared with the traditional principal component analysis model,the model in this paper has higher accuracy on predicting medium and long-term returns.This paper also analyzes and studies the influence of different types of macroeconomic variables on the yield of bonds with different maturities.This paper further analyzes the impact of different types of macroeconomic variables on the yield curve of government bonds,proposes a more effective method for the extraction of macroeconomic component factors,provides a scientific basis for effectively identifying the changes of the term structure of interest rates,and also provides decisionmaking reference for both monetary policy formulation and bond investors.