An Empirical Research of Effect on Term Structure by Macroeconomic Factors

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 va...

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Bibliographic Details
Published in2020 2nd International Conference on Economic Management and Model Engineering (ICEMME) pp. 600 - 603
Main Authors Qiuling, Hu, Qifeng, Zhou
Format Conference Proceeding
LanguageEnglish
Published IEEE 01.11.2020
Subjects
Analytical models
Economic indicators
Interest rate term structure
Linear regression
Macroeconomics
multivariable linear regression model
Principal component analysis
principle components analysis model
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Summary: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.
DOI:10.1109/ICEMME51517.2020.00124