# 10年期美债收益率模型论文清单：30篇

这份清单按“能否复现/能否接入公共数据”筛过：优先保留收益率曲线、期限溢价、宏观金融和预测组合这四类模型。

| # | 论文 | 模型 | 复现所需数据 | 可复现性 | 链接 |
|---:|---|---|---|---|---|
| 1 | Fama & Bliss (1987), The Information in Long-Maturity Forward Rates | Forward-rate / risk-premium regressions | Treasury zero/forward rates; future bond returns or yield changes | High with CMT/zero curve proxies | https://www.jstor.org/stable/1814531 |
| 2 | Campbell & Shiller (1991), Yield Spreads and Interest Rate Movements | Spread regressions testing expectations-hypothesis deviations | Long-short Treasury yields and future long-rate changes | High with Treasury CMT rates | https://academic.oup.com/restud/article-abstract/58/3/495/1563351 |
| 3 | Nelson & Siegel (1987), Parsimonious Modeling of Yield Curves | Level/slope/curvature exponential-factor curve | Cross-section of Treasury yields by maturity | High with Treasury CMT rates | https://doi.org/10.1086/296409 |
| 4 | Litterman & Scheinkman (1991), Common Factors Affecting Bond Returns | Principal components: level, slope, curvature | Treasury yield curve or bond returns | High with CMT rates | https://www.jstor.org/stable/2328690 |
| 5 | Duffie & Kan (1996), A Yield-Factor Model of Interest Rates | Affine term-structure state-space model | Yield curve, short-rate process | Medium; full MLE is heavier, regression proxy is feasible | https://doi.org/10.1111/j.1467-9965.1996.tb00123.x |
| 6 | Dai & Singleton (2000), Specification Analysis of Affine Term Structure Models | Affine no-arbitrage ATSM taxonomy and estimation | Treasury zero yields across maturities | Medium; needs no-arbitrage estimation | https://doi.org/10.1111/0022-1082.00250 |
| 7 | Duffee (2002), Term Premia and Interest Rate Forecasts in Affine Models | Essentially affine models for yield forecasting | Treasury yields / zero curve | Medium | https://doi.org/10.1111/0022-1082.00426 |
| 8 | Ang & Piazzesi (2003), A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables | Macro-finance VAR with latent yield factors | Yields, inflation, real activity, policy factors | High as reduced-form DNS-macro regression; medium as full no-arbitrage model | https://doi.org/10.1016/S0304-405X(02)00233-1 |
| 9 | Kim & Wright (2005), An Arbitrage-Free Three-Factor Term Structure Model and the Recent Behavior of Long-Term Yields and Distant-Horizon Forward Rates | Three-factor affine model; expected short rates plus term premium | Treasury yield curve; Fed Board term premium data | High for using published factors; medium for full re-estimation | https://www.federalreserve.gov/pubs/feds/2005/200533/200533pap.pdf |
| 10 | Cochrane & Piazzesi (2005), Bond Risk Premia | Tent-shaped forward-rate factor predicting excess bond returns | Forward rates / Fama-Bliss yields | High with yield-curve proxies | https://www.aeaweb.org/articles?id=10.1257/0002828053828581 |
| 11 | Diebold & Li (2006), Forecasting the Term Structure of Government Bond Yields | Dynamic Nelson-Siegel AR/VAR forecasting | Yield curve panel | High; this script uses the same factor spine | https://www.ssc.upenn.edu/~fdiebold/papers/paper49/Diebold-Li.pdf |
| 12 | Diebold, Rudebusch & Aruoba (2006), The Macroeconomy and the Yield Curve | DNS latent factors linked to macro variables | Yields, capacity/utilization or real activity, inflation, fed funds | High as reduced-form DNS-macro model | https://www.sciencedirect.com/science/article/pii/S0304393206000767 |
| 13 | Hordahl, Tristani & Vestin (2006), A Joint Econometric Model of Macroeconomic and Term-Structure Dynamics | Structural macro-finance term-structure model | Inflation, output, policy rate, yields | Medium | https://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp405.pdf |
| 14 | Moench (2008), Forecasting the Yield Curve in a Data-Rich Environment | Factor-augmented yield-curve forecasting | Large macro panel plus yields | Medium; public macro subset feasible | https://www.newyorkfed.org/research/staff_reports/sr327.html |
| 15 | Christensen, Diebold & Rudebusch (2011), The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models | Arbitrage-free Nelson-Siegel | Treasury yields / zero curve | Medium; DNS proxy is easy, AFNS estimation heavier | https://doi.org/10.1016/j.jeconom.2010.06.011 |
| 16 | Wright (2011), Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset | Panel term-premium regressions with inflation uncertainty | Global yields, inflation uncertainty | Medium for US-only proxy | https://www.aeaweb.org/articles?id=10.1257/aer.101.4.1514 |
| 17 | Joslin, Singleton & Zhu (2011), A New Perspective on Gaussian Dynamic Term Structure Models | Canonical Gaussian DTSM | Yield curve / pricing factors | Medium | https://doi.org/10.1093/rfs/hhq128 |
| 18 | Bauer, Rudebusch & Wu (2012), Correcting Estimation Bias in Dynamic Term Structure Models | Bias-corrected DTSM / term-premium estimates | Treasury yields | Medium | https://www.frbsf.org/wp-content/uploads/sites/4/wp12-12bk.pdf |
| 19 | Adrian, Crump & Moench (2013), Pricing the Term Structure with Linear Regressions | Linear-regression ACM term-premium model | Treasury yields; excess returns | High for published NY Fed ACM data; medium for full replication | https://www.newyorkfed.org/research/staff_reports/sr340.html |
| 20 | Joslin, Le & Singleton (2013), Why Gaussian Macro-Finance Term Structure Models Are (Nearly) Unconstrained Factor-VARs | Macro-finance DTSM vs factor VAR equivalence | Yields and macro factors | High as VAR/regression implication | https://doi.org/10.1016/j.jeconom.2013.03.007 |
| 21 | Joslin, Priebsch & Singleton (2014), Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks | Unspanned macro risk in DTSM | Yields, macro variables, risk prices | Medium | https://doi.org/10.1111/jofi.12131 |
| 22 | De Pooter, Ravazzolo & van Dijk (2010), Term Structure Forecasting Using Macro Factors and Forecast Combination | Forecast combination of yield and macro models | Yields and macro variables | High as public-data forecast combination | https://www.federalreserve.gov/pubs/ifdp/2010/993/ifdp993.htm |
| 23 | Diebold, Li & Yue (2008), Global Yield Curve Dynamics and Interactions | Global DNS factors | International government yield curves | Medium; US-only DNS subset high | https://www.ssc.upenn.edu/~fdiebold/papers/paper70/DLY.pdf |
| 24 | Rudebusch & Wu (2008), A Macro-Finance Model of the Term Structure, Monetary Policy and the Economy | Macro-finance term-structure model with policy factors | Treasury yields, output gap/activity, inflation, fed funds | Medium | https://www.frbsf.org/wp-content/uploads/sites/4/wp07-26bk.pdf |
| 25 | Bikbov & Chernov (2010), No-Arbitrage Macroeconomic Determinants of the Yield Curve | No-arbitrage macro determinants | Yields and macro variables | Medium | https://doi.org/10.1016/j.jfineco.2009.11.004 |
| 26 | Duffee (2011), Forecasting with the Term Structure: The Role of No-Arbitrage Restrictions | Forecast evaluation of no-arbitrage restrictions | Yield curve; forecast targets | Medium | https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1783643 |
| 27 | Exterkate, Groenen, Heij & van Dijk (2013), Nonlinear Forecasting with Many Predictors Using Kernel Ridge Regression | Kernel/ridge forecasting with many predictors | Macro-financial predictors and yields | Medium; this script uses linear ridge for transparency | https://doi.org/10.1016/j.ijforecast.2013.01.004 |
| 28 | Byrne, Cao & Korobilis (2017), Forecasting the Yield Curve Using Large Bayesian VARs | Bayesian VAR yield-curve forecasting | Yield curve and macro-financial panel | Medium | https://doi.org/10.1016/j.ijforecast.2017.04.002 |
| 29 | Carriero, Clark & Marcellino (2016), Common Drifting Volatility in Large Bayesian VARs | Time-varying-volatility BVAR for macro-finance forecasting | Macro/yield panel | Low-medium without a Bayesian stack | https://doi.org/10.1002/jae.2479 |
| 30 | Sarno, Thornton & Valente (2007), The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields | Expectations-hypothesis / spread forecast tests | Short and long Treasury yields | High with Treasury CMT rates | https://doi.org/10.1111/j.1540-6261.2007.01289.x |

## 复现取舍

- 完整无套利 DTSM/AFNS 需要状态空间估计和零息曲线，样本更新成本较高。
- 直接可更新的版本是：用 Nelson-Siegel/Diebold-Li 拟合收益率曲线因子，再加入宏观变量和期限溢价做直接预测。
- 本仓库脚本采用月频 ridge 直接回归，目标是未来 1-12 个月 `DGS10` 的变化，而不是给出交易保证。