金融危机后债券收益的可预测性——基于美国国债数据的实证研究

Predictability of Bond Return After Financial Crisis——Empirical Research Based on U.S. Government Bond Data

检验Cochrane-Piazzesi模型在美国国债市场中对债券超额收益的预测能力,观察到Cochrane-Piazzesi变量(后文称为CP变量)的预测能力在金融危机后显著下降。为了充分反映出宏观经济和政府政策对债券收益的影响,选取了6个宏观变量,通过线性组合构建成全新的单一宏观变量,发现其具有比CP变量更强的预测能力,证实了宏观经济基本面的出色预测能力。此结论对中国债券市场研究同样具有借鉴意义。

This paper tests bond excess return predictability from Cochrane-Piazzesi model in the U.S. government bond market, observing dramatic drop of Cochrane-Piazzesi factor’s （CPfactor） predictability after financial crisis. In order to take influence from macro economy and policies into account, it is necessary to use macro factors to predict bond returns. This study selects 6 macro factors, and constructs a new single macro factor through linear combination. This single macro factor displays cyclical property, showing superior predictability than CPfactor and confirming macroeconomic fundamentals’ remarkable predictability. The conclusion also contributes to researches in Chinese bond market.