| dc.description.abstract | This empirical research attempts to explore how various macroeconomic
factors affect short-term, medium-term, and long-term bond yields on a
monthly frequency. For this purpose, five significant market variables were
selected: ＂U.S. Unemployment Rate,＂ ＂U.S. Manufacturing Purchasing
Managers Index,＂ ＂U.S. Core Consumer Index,＂ ＂VIX Volatility Index,＂ and
＂S&P 500 Index Returns＂. Using the principal component analysis to derive
the ＂Level＂, ＂Slope＂, and ＂Curvature＂ of the yield curve from U.S. three-
month, six-month, one-year, two-year, three-year, five-year, ten-year, and
twenty and thirty-year bond yields, this study then examines how each
control variable influences the changes in short-term, medium-term, and long-
term bond yields. With a sample period from January 1, 2014 to December
31, 2023, comprising 120 monthly data points over ten years, an in-depth
statistical analysis was conducted for this empirical research. The results
revealed that the three factors of the yield curve can explain up to 99% of
the yield of bonds of various periods. Yet, incorporating macroeconomic
variables would improve the overall model significantly. Additionally, we
discovered that the model explains the changes in short-term yields better,
with its explanatory power decreasing as the term lengthens. | en_US |