| The bond market is an important part of the multi-level capital market and an important way of direct financing,as well as an important way for funds to reach the real economy.The variety of bonds have continued to be enriched,and the construction of market infrastructure have continued to improve,and the function of the bond market to serve the real economy was further strengthened.A sound yield curve is the pricing benchmark for the multi-level capital market,reflecting the supply-demand relationship and operational changes in the bond market,and is an important reference indicator for macro-control.Studying the information contained in the bond market yield curve is of great significance for effectively exploring the effect of the yield curve on policy effects,and making better use of the yield curve for the forecast information of the macro economy.Exploring the influence of information content of bond yield curve in Chinese capital market,and seeking methods and ways to increase the information content of the bond yield have great theoretical and practical significance for promoting the healthy development of Chinese capital market.First of all,starting from the information content of the yield curve in the market,this paper studies the characteristics of the change in the yield curve of treasury bonds,as well as the volatility in a special period.Based on the principal component analysis and the dynamic Nelson-Siegel model,the factor extraction analysis of the yield curve of the national debt under different frequencies(monthly data and daily data)is carried out,which considers the two-step method and state space model for the DNS model.After comparing the results of the factors,it is found that the factors based on the two-step method have less volatility for fitting residuals of different maturities returns,and the results are relatively stable.At the same time,it studies the analysis of changes in the yield curve during a special period(the epidemic),and reflects the continuous change of the yield curve through time-varying autoregressive estimation coefficients.Studies have found that the persistence of Chinese yield factor is relatively stable,making China’s yield curve more predictable,even if China was earlier affected by the epidemic.Secondly,based on the analysis of information content in the yield curve market,the overall relationship between the yield curve and inflation,the RMB exchange rate,monetary policy is analyzed through the structural equation model as a whole.It is found that bond market yield curve factor has a significant impact on inflation.At the same time,the bond market yield curve factor and the RMB exchange rate have a significant mutual influence.And monetary policy has a significant impact on the yield curve factor.These research results laid the foundation and research framework for the following work.Based on the overall relationship analyzed,according to the influence mechanism under different markets,three dimensions of inflation prediction based on the yield curve,the linkage relationship between the yield curve and the RMB exchange rate,and the dynamic impact of monetary policy on the yield curve are considered separately.Thirdly,starting from the cross-market information content of the yield curve,the problem of inflation prediction based on the yield curve is studied.This paper constructs different yield curve factor measurement indicators,and calculates the daily inflation rate based on the daily consumer price index(ICPI)of Chinese Internet online data from 2016 to 2020,and compares the autoregressive distribution lag model with the benchmark AR model in term of daily inflation prediction in different periods in the future.The rolling prediction method is used to compare the root-mean-square error of the in-sample estimation and the out-of-sample prediction.The study found that different factors have a good predictive effect on the inflation rate.This predictive effect not only is valid when the sample is regressed,but also has a significant effect on improving the inflation rate prediction when predicting outside the sample.Research shows that the factor of the yield curve contains important information related to the inflation rate in the daily frequency,which can be used as an important reference for general price trends in the future.Then,starting from the cross-market information content of the yield curve,it studies the linkage relationship between the yield curve and the RMB exchange rate.The MS-VAR model was constructed to test the dynamic relationship between Chinese yield curve level factor,foreign exchange reserves and the RMB exchange rate,and to characterize the dynamic changes in the relationship from January 2010 to December 2020 according to the status of the district system.The study found that the system of"exchange rate,foreign exchange reserves and level factor" has the characteristics of dual zoning,that is,the "severe volatility zone" and the "slow volatility zone".On average,the time spent in a low-risk zone is about one month longer than that in a high-risk zone.The market is more inert in a low-risk zone than that in a high-risk zone.But in general there is little difference.At the same time,it is found that the exchange rate and level factor effect in different regions are different,and the exchange rate and yield curve factor form an "inconsistent" equilibrium.Finally,starting from the cross-market information content of the yield curve,the issue of the dynamic impact of monetary policy on the yield curve is studied.Based on the static fixed coefficient model and the dynamic TVP-VAR model,considering the impact of quantitative monetary policy and price-based monetary policy on the yield curve,the study found that the impact of the two monetary policies on the level of the yield curve is non-linear,asymmetric and time-varying characteristics.This effect shows time-varying characteristics in the short-term,medium-term,and long-term perspectives.Judging from the characteristics of the immediate response at different time points,there is a time lag in the dynamic impact of monetary policy on the yield curve.The yield curve factor has a negative effect on the impulse response of a quantitative monetary policy,while the yield curve factor has a positive effect on the impulse response of a price-based monetary policy shock.Through the research of this paper,on the one hand,we can better understand the information content of the yield curve and clarify the characteristics of the change in the yield curve.On the other hand,it can also make better use of the characteristics of the yield curve to determine and predict the future development of the macro economy,providing a basis for the formulation of forward-looking macroeconomic policies.The research results are of great significance to Chinese promotion of the bond market development,the rational formulation of monetary policies,and the selection of bond investment opportunities by market entities. |
