Research on the Mixed-Frequency Cyclical Mechanism of the Chinese Government Bond Yield Curve——Based on a Regime-Switching Mixed-Frequency Term Structure Model
Under the realistic condition of mixed-frequence data information,this paper introduces a new Regime-Switching Mixed-Frequency Nelson-Siegel Term Structure(MS-MF-NS)model to effec-tively capture the mixed-frequency cycle characteristics of Chinese government bond yield curves and their relationship with the macroeconomy.The study reveals that the MS-MF-NS model improves the fit-ting accuracy of Chinese government bond yields by incorporating economic cycle behavior.The interest rate term structure shows significant cyclical behavior,influenced by the countercyclical nature of the slope factor.Additionally,the slope factor,after accounting for economic cycle factors,offers forward-looking information for macroeconomic predictions,particularly in forecasting inflation based on inflation expectations mechanism.By depicting the cyclical differences in macroeconomic impacting on Chinese government bond yields within a non-linear model framework,the contributions of macroeconomic funda-mentals to the yield curve and term structure factors become more evident.Monetary policy adjustments should consider the non-linear effects of term structures and allow for moderate fine-tuning to promote coordinated development and security.Attention should also be given to the feedback effects of monetary policy adjustments across cycles and counter-cycles on the term structure.
term structureregime-switchingmixed-frequency dataeconomic cycle
NETL
NSTL
万方数据
