中国国债收益率影响因素分析——基于主成分分析与协整检验的实证研究

Analysis on influencing Factors of the Chinese Government Bonds Yield——Based on the Empirical Research of Principal Component Analysis and Co-integration Test

本文选取我国自2010年1月-2018年12月的不同期限类型的国债收益率月度数据,利用主成分分析提取出国债收益率具有水平因子、斜率因子和曲率因子三个主成分因子,分别代表长期利率、长短期利差和中期利差期限结构特征,并在此基础上利用协整回归研究国债收益率与宏观经济变量以及货币政策之间的关系,得出宏观经济指标和货币政策工具会对国债收益率产生较大影响,其中通货膨胀和经济增长预期的变好会拉动国债收益率水平因子的上升即带动长期利差的增加,市场利率的增加同样会使得国债收益率水平因子和斜率因子上升,最终对我国国债市场的进一步完善和发展提出了相关建议。

Treasury yields are often considered as a risk-free rate and play an important role in the financial markets' interest rates,providing a reference for pricing other financial products.This paper selects the monthly data of the treasury bond yields of different types from January 2010 to December 2018.The principal component analysis is used to extract the treasury yields with three factors: horizontal factor,slope factor and curvature factor,which respectively represent long-term interest rates,long-term and short-term spreads,and medium-term interest rate maturity structure characteristics,and on this basis,this paper use co-integration regression to study the relationship between government bond yields and macroeconomic variables and monetary policy,which shoes that Indicators and monetary policy tools will have a greater impact on the yield of government bonds.The improvement in inflation and economic growth expectations will drive the rise in the level of government bond yields,which will also lead to an increase in long-term spreads.The rise of the yield level factor and the slope factor finally put forward relevant suggestions for the further improvement and development of China's national debt market.