• 论文 •

### 基于贝叶斯向量自回归的中国国债收益率预测

• 出版日期:2015-08-15 发布日期:2015-08-18

### Forecasting China's Inter-bank Bond Yields with Bayesian Vector Autoregressions

Yang Wanqian & Cheng Liwei

• Online:2015-08-15 Published:2015-08-18

Abstract: Based on independent Minnesota-Wishart conjugate prior Bayesian vector autoregressive model (BVAR), this paper forecasts China's inter-bank bond yield by MCMC of Gibbs sampling. Except for statistical measures of forecast accuracy, we also consider alternative measures according to economic criteria (Sharpe Ratio & portfolio losses), and based on fixed rolling forecast window, we compare the direct and recursive forecast accuracy of BVAR with other 8 common models. The result shows that BVAR’s short-run prediction may be unstable, while its medium- and long-term direct prediction accuracy is better than that of recursive and other models, and the longer the horizon and the yield maturity the higher prediction precision is, which reflects the BVAR’s the significant superiority in the forecast of medium- and long-term yields.