수익률 예측요인을 이용한 중국 채권초과수익률 예측과 거시경제와의 관계 연구

Abstract

This study predicted excess earnings rates through the methods by Fama and Bliss (1987) and Cochrane and Monika Piazzesi(2005) using data on forward rates of Chinese bonds, quoting the increased R2 compared to the results by Fama and Bliss (1987) when Cochrane and Monika Piazzesi(2005) forecasted excess earnings rates of bonds by creating factors to expect earnings rates. The results suggest the following; when expecting excess earnings rates of bonds by creating return forecasting factors, R2 was in the 70% range, indicating a clearer explanation power compared to a case using the method by Fama and Bliss (1987), which recorded the 10% range. This high ability to expect is deemed to be due to the characteristics of the economic system and financial markets unique in China. In addition, when conducting a regression analysis on return forecasting factors, inflation, which is a representative macroeconomic factor, and Coincident Composite Index, it has been found that return forecasting factors have a significant explanatory power, which is also statistically significant, in both real economies. The earnings rate prediction curve had a positive (+) impact on the inflation after two months and a negative (-) effect on Coincident Composite Index after eight months. This suggests that return forecasting factors can not only be used as a predictor for excess earnings rates in the bond markets, but also be used as a tool to expect future changes of some variables to the real economy.