Purpose. Economists have found that macroeconomic variables influence the term structure of interest rates. In this paper we will investigate the combined effect of macroeconomic variables. Methodology. This paper applies partial least square method to extract a macroeconomic factor from 23 macroeconomic variables, and explore the predictive effect of the macroeconomic factor on term premiums. To explore the persistence of the effect, the impulse response analysis of the macroeconomic factor on term premiums is carried out. Findings. It has been found that the macroeconomic factor extracted by the partial least squares method can predict the changes of the term premiums efficiently. Furthermore, the impact of the macroeconomic factor on term premiums will disappear after three to four years. Originality. To study the relationship between macro economy and the term structure of interest rates, this paper first applies the partial least square method to extract the macroeconomic factor. A series of research on macro economy and term premiums can be carried out. The research on this aspect has not been found at present. Practical value. The results in this paper are helpful to understand the combined impact of the macro economy on the interest rate term structure. On the one hand, it can help investors to understand how the Treasury yield curve is affected by macro economy. On the other hand, it provides a good reference for policy makers to understand the current economic status and the reflex of market on policy.

  Якщо, ви не знайшли інформацію про автора(ів) публікації, маєте бажання виправити або відобразити більш докладну інформацію про науковців України запрошуємо заповнити "Анкету науковця"