An Empirical Research of Effect on Term Structure by Macroeconomic Factors

摘要

In this paper, on the basis of studying the internal movement mode of yield curve, three main factors are extracted by using principal component analysis model to explain the morphological changes of Treasury bond yield. External influence of economic variables is analyzed by adding macroeconomic variables and constructing multiple linear regression model. Finally, insignificant variables are eliminated through stepwise regression. The results show that the change of three factors can explain more than 90% of the movement of Treasury yield curve. Moreover, monetary policy has significant influence on the change of yield curve, while real economy behavior and price behavior have no significant influence on the change of yield curve.