The Influence And Forecast Of Macroeconomic Factors On The Yield Curve

This paper is divided into two parts, the first, analysis the effect of macroeconomic variables on the several characteristics bond yield curve (intercept, slope, curvature) Autoregressive distributed lag model was used here, and then through gradually return excluding not significant items and other methods to get the estimation of three characteristics, which could see the impact of macroeconomic variables on the position of bond yield curve (ie intercept) is more significant,that is to say that have a large impact on the overall total bond market yields; Fiscal deposits and narrow money where there is a positive effect on the overall yield curve, while the stock market index has opposite effect, that will cause the overall decline in the total bond market yields when the stock market rises, macroeconomic variables on the slope and curvature of the yield curve also have infurance, but the relatively smaller.Then, because the presence of heteroskedasticity phenomenon in economic phenomenon is frequent, so here using Spearman’s rank correlation coefficient test method and Parker test method, found that the estimation of the intercept and slope term have heteroscedasticity, and then use the weighted least squares method and Box-Cox transformation method to correct the heteroscedasticity, and compared these two methods, found that Box-Cox transformation method is better, so we chose the Box-Cox transformation. Finally, got the estimator of three features of the yield curve (that is the intercept, slope, curvature).