Term Structure Of Interest Rates In Macroeconomics Environment Researchs Based On A Dynamic Stochastic General Equilibrium Model

Transformation from quantity-based to price-based in interest rate liberalization and monetary policy is an important part of China’s financial reform. It can be found in international experience that since the national debt has a high degree of market forces in the process of marketization of interest rate, term structure of treasury interest rate has gradually become nuclear benchmark interest rate while the influence of macroeconomic environment on bonds becomes growing prominent. Under such a background, this paper tries to research the basic characteristics, the changing ways and the various components etc. from the perspective of macroeconomic environment.In order to study of term structure of interest rates in the macroeconomic environment, first we need to build a comprehensive macro-economic environment. Therefore, this paper chose to use the dynamic stochastic general equilibrium model, which is more mainstream in current macroeconomic researches, to characterize China’s macro economy. In common papers of applying DSGE model, its solution is a certainty equivalent solution that is unable to reflect the effect of risk. However, in my research, the national debt is a kind of financial assets, conditions of financial assets does not exist in the absence of risk environment. Therefore, in order to reflect the risk (impact) in the model, the higher-order approximate solution technique is used so as to the economic entities of the model consider the existence of the risk in the behavioral decision and reflect risk in the behavior of the precautionary motive.Simulation results show that the model and parameter estimation results in this paper fit the shape of the actual situation accurately, which lays the foundation for the further research. Then, this paper studies the impact of risks and the precautionary motive. Sample interval of our country’s high-speed economic growth and short-term bond yields which is higher than the rate of inflation and the precautionary motive effects cancel each other out, which leads to China’s national debt term structure of interest rates is low as a whole. It can be found from parameter sensitivity analyses that the larger risk aversion of China’s economic agents is the reason of the great effect of precautionary motive effect, while other parameters have evident influence on the forming of the term structure of interest rates. The impact of dynamic change is driving factor. Based on the impulse-response analysis and historical impact decomposition, I have researched transmission mechanism and way of influence of shock on term structure of interest rate and also the reasons for fluctuations in the sample interval.Treasury nominal interest rate term has two decomposition methods. One is Expected short-term interest rates mean and risk premium and the other is the rate of inflation expectations and the real interest rate. They both have a wealth of guidance for the formulation of monetary policy and investment behavior of market participants. These two decompositions involve four variables and all of them are expected variables. DSGE model has a theoretical basis in the expected formation mechanism. Based on the above model and the results of the historical state variables’ estimation, I resolve China’s national debt term structure of interest rates and discuss the changing trend of the four variables in the sample interval and the cause of the fluctuation.