Study on the Forecasting of Chinese Government Bond Yields Based on Macroeconomic Factors and Principal Component Analysis: A Comparative Analysis of Domestic and Overseas Factors

DOI

10.2991/978-94-6239-777-4_62How to use a DOI?

Keywords

Government bond yields; Principal component analysis; Macroeconomic factors; International spillover effects

Abstract

This paper constructs a government bond yield forecasting model that incorporates both domestic and international macroeconomic factors. Principal component analysis is used to extract the yield curve shape as a control variable. By comparing the regression results of the domestic factor model, the international factor model, and the full model, this study examines the impact of domestic and international factors on government bond yields. The findings reveal that China’s policy interest rate is significantly positive, while the year-on-year CPI is significantly negative, making them the core determinants of government bond yield fluctuations. Global liquidity becomes positive and significant after controlling for domestic factors, suggesting a clear international spillover effect. The full model demonstrates superior goodness of fit and overall significance compared to single-factor models.

Copyright

© 2026 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Tianchen Yang
PY  - 2026
DA  - 2026/09/30
TI  - Study on the Forecasting of Chinese Government Bond Yields Based on Macroeconomic Factors and Principal Component Analysis: A Comparative Analysis of Domestic and Overseas Factors
BT  - Proceedings of the 2026 8th International Conference on Economic Management and Cultural Industry (ICEMCI 2026)
PB  - Atlantis Press
SP  - 591
EP  - 603
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6239-777-4_62
DO  - 10.2991/978-94-6239-777-4_62
ID  - Yang2026
ER  -