The Empirical Analysis Of Macro Economic Influencing Factors Of Long-and-short-term National Debt Maturity Spread

Domestic and foreign scholars have made numerous studies on the factors that determine the different forms of the interest rate curve as well as the functional relationship between yield rates of different maturities,and many different views and research models were also put forward.However,the possible influence of macro factors was rarely analyzed,and analysis of the formation of undulation was even less carried out.In this paper,we focused on the special state of undulation of long-and-short-term national debt maturity spread to study the macro economic factors influencing national debt maturity spread,which is of great academic value and practical significance for analyzing and judging the macroeconomic situation and expectations as well as formulating effective monetary policy,exchange rate policy and other macro policies.We strove for innovation in this paper,and analyzed and compared the macro factors influencing long-and-short-term national debt maturity spread between China and US through theoretical and empirical research.ARCH effect was verified to exist in long-and-short-term national debt maturity spread.Based on this,GARCH(1,1)Model was built for test,exogenous variables were set according to theoretical analysis,and to analyze the respective undulation and macro influencing factors of long-and-short-term national debt maturity spread in US and China.Research showed that the factor of economic growth is positively correlated to the undulation of long-and-short-term national debt maturity spread in US,but the corresponding correlation in China is not significant;the factor of inflation is positively correlated to the undulation of long-and-short-term national debt maturity spread in both China and US,but its influence in US is greater;change of monetary policy is positively correlated to the undulation of long-and-short-term national debt maturity spread in US,but its influence in China is not significant;change of real effective exchange rate is positively correlated to the undulation of long-and-short-term national debt maturity spread in both countries and its influence degrees in the two countries are close.We can get the following conclusions from the overall comparison between the two countries:The macro factors influencing the national debt yield spread in US are more significant,the possible reason is that the mechanism of the US bond market is more mature,and the information of the macro influencing factors can be transmitted to the bond market more quickly and efficiently.In this paper,based on the conclusion of empirical research,related policy recommendations were put forward in aspects of improving the effectiveness of monetary policy,achieving coordination between monetary policy and fiscal policy,promoting the openness of capital items and enriching the varieties and maturities of the issuance of national debt.