中文摘要：

通过研究我国收益曲线与宏观变量的关系,发现宏观变量与潜在因子高度相关,宏观变量是利率期限结构变动的主要驱动因素。政策利率的增加导致收益曲线向上转变,央行能影响所有收益曲线。斜率含有收益曲线短期的大量信息,汇率变化对收益曲线有显著解释能力,通胀和产出缺口的增加和减小会使利率升高和降低。

英文摘要：

This paper investigates the relationship between China＇s yield curve and macro variables. We find that the macro variables exhibit highly correlation with the latent factors and are the main driving force for the changes of the term structure. The increasing changes in the policy rate will lead to the increase of the yield curve, and the central bank has ability to affect the entire yield curve. The slope factor contains plenteous information on the short end of the yield, and the changes in exchange rate have significant explanatory power in model, and the changes in Inflation and the output gap will lead a corresponding change in rate.