10年期美国国债收益率预测方法探析——以本轮美联储降息为研究背景  

A Study of 10-Year U.S.Treasury Yield Forecasting Methods amid Federal Reserve Interest Rate Cuts

作　　者：刘宜衡 LIU Yiheng(Bank of China Wealth Management Co.,Ltd.)

机构地区：[1]中银理财有限责任公司研究部

出　　处：《金融市场研究》2025年第1期55-66,共12页Financial Market Research

摘　　要：10年期美国国债收益率作为全球资产定价之锚,对全球金融市场有着深刻的影响。本文以本轮美联储降息周期为研究背景,分别利用历史经验法、Bernanke三因素模型、VAR模型、HullWhite模型对10年期美国国债收益率走势进行预测。经对比,由于Hull-White模型更适用于降息背景下均值回复特性不强的情形,因此现阶段选择该模型可能得到更为合理的预测结果。The 10-year U.S.Treasury yield,as the anchor of global asset pricing,has a profound impact on global financial markets.This paper takes the current Fed rate-cutting cycle as background for research utilizing the historical empirical method alongside former Fed chief Bernanke's three-factor model,the VAR model,and the Hull-White model to forecast the trend of 10-year U.S.Treasury yields.Since the Hull-White model is more suitable in the weak mean-reversion characteristics typical of interest rate cuts,it may be preferable to use this model for more accurate forecasting results.

关 键 词：美国国债收益率 利率期限模型 HULL-WHITE模型 

分 类 号：F83[经济管理—金融学]