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以2006年3月至2025年3月的中美10年期、5年期、20年期国债收益率利差及两国通货膨胀差值时间序列为数据，运用隐马尔可夫模型(HMM)和层次隐马尔可夫模型(HHMM)识别利差隐藏状态。研究表明：中美国债收益率利差主要存在“波动倒挂”与“平稳正挂”两种核心状态；中美通胀分化以2020年为界，可划分为“美国相对通缩加剧”(2020年前主导)和“美国相对通胀加剧”(2020年后主导)两种粗粒度状态，后者显著加剧10年期利差的倒挂风险；短期(5年期)利差对通胀分化敏感性更高、状态切换更频繁，长期(20年期)利差虽波动幅度大但稳定性更强。本研究为跨境资本流动分析、跨期限资产配置及政策制定提供了理论依据与实证支持。
Abstract：Using the time series data of US-China 10-year, 5-year and 20-year government bond yield spreads and inflation differentials between the two countries from March 2006 to March 2025, this study applies the Hidden Markov Model(HMM) and Hierarchical Hidden Markov Model(HHMM) to identify the hidden states of yield spreads. The results reveal two core regimes in the US-China bond yield spreads: “volatile inversion” and “stable positive”. The inflation divergence shows two coarse-grained regimes demarcated by 2020: “U.S. relative deflation intensifies”(predominant pre-2020) and “U.S. relative inflation intensifies”(predominant post-2020), with the latter significantly increasing inversion risks for 10-year spreads. Short-term(5-year) spreads exhibit higher sensitivity to inflation divergence and more frequent regime switching, whereas long-term(20-year) spreads demonstrate greater amplitude volatility but higher stability. This study provides theoretical foundations and empirical evidence for cross-border capital flow analysis, cross-maturity asset allocationand policy formulation.
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① 计算方式为：美国国债收益率-中国国债收益率。
② 受限于篇幅，此部分实证结果不予展示，但留存备索。
基本信息:
中图分类号:F812.5;F817.12
引用信息:
[1]苏彤.通胀分化视角下基于层次隐马尔可夫模型的中美国债收益率利差状态识别[J].沿边金融研究,2025,No.1(01):18-38.
2025-06-30
2025-06-30