CAJ | 학술논문

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。
검험Cochrane-Piazzesi모형재미국국채시장중대채권초액수익적예측능력，관찰도Cochrane-Piazzesi변량（후문칭위CP변량）적예측능력재금융위궤후현저하강。위료충분반영출굉관경제화정부정책대채권수익적영향，선취료6개굉관변량，통과선성조합구건성전신적단일굉관변량，발현기구유비CP변량경강적예측능력，증실료굉관경제기본면적출색예측능력。차결론대중국채권시장연구동양구유차감의의。
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.