宏观经济因素对国债收益的影响分析

The Analysis of the Impact of Macroeconomic Factors on Treasury Yields

利用主成分分析方法将影响国债的宏观经济指标分成宏观调控综合指标和通货膨胀综合指标,选取国债从2004年到2010年的收益率数据,构建多元统计回归模型,研究宏观经济因素对国债收益的影响。研究发现,国债收益率与通货膨胀影响综合指标正相关,受通货膨胀影响较显著。

The principal component analysis method is used to divide the macro-economic indicators affecting on treasury bonds into both the macro-control comprehensive indicator and the inflation comprehensive indicator,and a multivariate statistical regression model is constructed to study the impact of the macro-economic factors on the yield of treasury bonds by selecting the yield data of treasury bonds from 2004 to 2010 year. The study finds that there is a positive relationship between the return of treasury bonds and the index of the inflation,and more significant for the impact inflation on treasury bonds.