金融危机前后国债收益率曲线变动的潜在因素分析

摘要

主要的宏观经济变量（通胀和产出）的变化与收益率曲线变动（潜在的水平和斜率因素）存在密切关系。金融危机爆发后，我国的宏观经济基本面发生了显著变化：通胀加剧，经济增长放缓。这些改变可能对收益率曲线的形状和移动形式产生影响。文章首先以最小化加权到期收益率误差为目标函数，用Nelson-Siegel模型拟合上海证券交易所国债的收益率曲线；然后用主成分分析方法分析金融危机前后收益率曲线变化的潜在因素得到：解释两时段收益率曲线移动的主成分构成相同，为水平、斜率和曲率因素，但主成分结构发生了改变，水平因素在金融危机后占据主导；最后，根据主成分结构的分析结果给出了利率风险管理的建议。%There are close ties between the main macroeconomic variables (inflation and output ) and the yield curve (potential level and slope factors) .Some remarkable changes have emerged after the financial crisis :ris-ing inflation and slowing economic growth ,which might affect the shape and shift form of the yield curve .This article first takes the minimal error of the weighted YTM as objective function ,and fits the yield curve of gov-ernment bonds in Shanghai Stock Exchange with Nelson-Siegel model ,then finds that Nelson-Siegel model is suitable for China government bond market ;and analyzes the potential factors causing yield curve shift before and after the financial crisis using principal component analysis .The findings show that for the two periods the main ingredients are the same ,that is level ,slope and curvature ,while the main composition structure has changed ,meaning that the level has become the major factor .Finally ,some suggestions about interest rate risk management are proposed ,according to the principal component analysis results .