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首页> 外文期刊>Empirica >The shape of sovereign yield curve in an emerging economy: Do macroeconomic or external factors matter?
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The shape of sovereign yield curve in an emerging economy: Do macroeconomic or external factors matter?

机译：新兴经济体主权收益曲线的形状：宏观经济或外部因素重要吗？

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摘要

We study the dynamic relation between sovereign yield curve and external shocks driven by global uncertainty and capital inflows. A Nelson-Siegel model is estimated to capture the three latent factors of the yield curve corresponding to level, slope and curvature. The state-space representation of the model is used to document the dynamic relation between the factors of the yield curve, the domestic macroeconomic variables (capacity utilization ratio, inflation, and monetary policy rate) and the external factors (global risk perception and capital flows). We find that although domestic macroeconomic variables have some impact on the future shape of the yield curve, the impact is becoming weaker after the 2008 global financial crisis. The results suggest that external factors emerge to have sizeable and significant impact on both macroeconomic variables and the latent factors. These results have important policy implications for policymakers especially for central bankers and debt managers when capital flows have been a major concern after the 2008 global financial crisis.
机译：我们研究了主权收益率曲线与全球不确定性和资本流入驱动的外部冲击之间的动态关系。估计Nelson-Siegel模型可捕获屈服曲线的三个潜在因子，分别对应于水平，斜率和曲率。模型的状态空间表示用于记录收益曲线的因素，国内宏观经济变量（产能利用率，通胀和货币政策利率）与外部因素（全球风险感知和资本流动）之间的动态关系。 ）。我们发现，尽管国内宏观经济变量对收益率曲线的未来形状有一定影响，但在2008年全球金融危机之后，这种影响变得越来越弱。结果表明，外部因素对宏观经济变量和潜在因素均具有相当大的影响。当资本流动成为2008年全球金融危机之后的主要问题时，这些结果对决策者，尤其是中央银行和债务管理者，具有重要的政策意义。

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