关键词: 动态Nelson-Siegel模型, GAS模型, 时变载荷因子, 宏观经济预测

Abstract: In general, the relevant literature of Nelson-Siegel models makes the loading factor a constant in advance or a static parameter to be estimated, and the time variation of the loading factor is rarely considered. Based on the score-driven time-varying parameter modeling method, we give the loading factor time-varying under the state space model, then construct model. The results show that the time-varying loading factor has high volatility and is closely related to the economic cycle. When the time-varying loading factor is used to predict the growth rate of industrial output, it is found that the loading factor has additional incremental information compared with the traditional macro predictors and can significantly improve the prediction accuracy of the models. The conclusion of this paper has reference value for Nelson-Siegel interest rate term structure modeling and the selection of macroeconomic predictors.

Key words: Dynamic Nelson-Siegel Model, GAS Model, Time-varying Loading Factor, Macroeconomic Prediction