CAJ | 학술논문

大量经验研究发现宏观基本面显著影响收益率曲线及其期限结构特征。本文提出一种包含低频宏观因子的混频Nelson—Siegel模型并基于中国国债收益率及宏观经济变量展开讨论。研究结果表明：混频模型可以改进同频模型拟合效果并较好刻画出具有明确经济含义的期限结构水平、斜率和曲度因子，说明混频模型在拟合中国国债收益率曲线方面的适应性。此外，我们发现水平因子对通货膨胀有明显作用，尤为重要的是，曲度因子受到GDP潜在因子显著的正向影响；最后，基于方差分解可以发现通胀因子主要作用于水平因子及收益率曲线长端，而GDP潜在因子则对曲度因子及中期收益率的贡献较大。
대량경험연구발현굉관기본면현저영향수익솔곡선급기기한결구특정。본문제출일충포함저빈굉관인자적혼빈Nelson—Siegel모형병기우중국국채수익솔급굉관경제변량전개토론。연구결과표명：혼빈모형가이개진동빈모형의합효과병교호각화출구유명학경제함의적기한결구수평、사솔화곡도인자，설명혼빈모형재의합중국국채수익솔곡선방면적괄응성。차외，아문발현수평인자대통화팽창유명현작용，우위중요적시，곡도인자수도GDP잠재인자현저적정향영향；최후，기우방차분해가이발현통창인자주요작용우수평인자급수익솔곡선장단，이GDP잠재인자칙대곡도인자급중기수익솔적공헌교대。
Many empirical studies find that macroeconomic fundamentals have also significant influence in the yield curve. This paper proposes and estimates a mixed - frequency Nelson - Siegel term structure model with the Chinese Treasure yields and c data. The results show that the mixed -frequency model can improve the in - sample fit of the yield curve compared with the basic Nelson - Siegel model. The term structural （ the level, slope and curvature） factor implied the clear economic implications can be extracted by the model. In addition, the model can identify that the levels factor significantly affect the inflation. More importantly, the curvature factor is affected by and GDP latent factor. Finally, according to the variance decomposition, we find that the inflation plays important rule in level factor and long term yield curve. The latent factor of GDP mainly contribution to curvature factor and short or middle term yield curve.