Research On Macroeconomic Forecasting Function Of Treasury Yield Curve

With the continuous changes in the economic environment in the new era,macroeconomic regulation and control will face complexity and uncertainty,and there is an urgent need to formulate forward-looking economic policies.The Third Plenary Session of the 18 th CPC Central Committee clearly put forward the “Financial Treasury Yield Curve that reflects the relationship between market supply and demand” and incorporated it into the country's core development strategy.In mature Western capital markets,such as the Federal Reserve Bank of the United States,the Bank of England and other central banks have used the national debt yield curve as an important basis for formulating monetary policies and an important tool for evaluating the effectiveness of monetary policies.The Treasury yield curve has important implications for a country's economic and financial development,both at the micro level and at the macro level.Treasury yield curve as a direct performance of the time value of money,is a basic variable for the pricing of financial products,but also an important carrier for government departments to implement fiscal and monetary policies.Therefore,choosing a suitable econometric model to test the macroeconomic forecasting function of China's national debt yield curve can enrich the research content of the Treasury yield curve,and can also provide valuable information for policy authorities to formulate macroeconomic policies.Therefore,the study of this issue has important theoretical and practical significance.This article is based on the research model of "mechanism analysis-empirical support".Firstly,this paper derives the macroeconomic mechanism of Treasury bond yield curve based on Phillips curve,IS curve,Taylor rule and Fisher equation.Secondly,using the principal component analysis method to obtain the horizontal factor,slope factor,and curvature factor representing the yield curve of the government bond,using the consensus synthesis index as the explanatory variable,and applying the dynamic probit model to empirically test the national debt from January 2011 to December 2017 in China.The yield curve predicts the function of the macro economy.Empirical tests show that China's national debt yield curve can predict macroeconomics to some extent.Finally,according to the mechanism analysis and empirical test,this paper puts forward the leading indicators that can be included in the Treasury bond yield curve in the economic prosperity index,providing a reference for the formulation of China's economic policy.Withthe advancement of the interest rate marketization reform,the macroeconomic forecasting function of China's national debt yield curve will play a greater role.