| Perfect treasury yield curve plays an important role in the formation of benchmark interest rate, and the marketization of interest rate. Treasury yield curve not only is the benchmark of financial products pricing, but also contains a wealth of macroeconomic information. Nowadays, China is in a crucial period of interest rate marketization process, and treasury yield curve is playing an increasingly significant role in the whole national economy operation and transformation of monetary policy. Under such economic situation, it undoubtedly has important practical significance to study the fluctuation characteristics and economic information of treasury yield curve, to probe the relationship between macroeconomic variables and the yield curve.The purpose of this dissertation is to analyze the fluctuation characteristics and varying pattern of China’s treasury yield curve under the background of interest rate marketization, to study the relationship between yield curve and monetary policy, yield curve and fiscal policy, to probe the curve’s predictive ability for economic cycle, to provide solid theoretical and empirical basis for treasury bond market participants understanding and making effective use of yield curve’s information.To achieve these purposes, this dissertation has adopted methodology combining normative analysis and empirical research, coupled with historical analysis and comparative analysis. Furthermore, this dissertation has expored organic combination of math method and financial research. Firstly, by comparative analysis, this dissertation analyzes Chinese and foreign difference in yield curve, Secondly, by empirical analysis, the dissertation describes and analyzes the fluctuation characteristics and varying pattern of China’s treasury yield curve. Thirdly, VAR model, cointegration test, ECM model, Granger causality test, PCA(principal component analysis) method, MS-VECM model, TARCH model, dynamic Probit model are used to empirically test the correlation between yield curve and monetary policy, yield curve and fiscal policy.This dissertation is divided into eight sections. The introduction part mainly elaborates the research background and significance of this article, put forward to research question, define the object of study. Chapter one is concentraded on the review of theory and empiricial study about treasury yield curve. In chapter three, we analyze the fluctuation characteristics of China’s treasury yield curve, describe the dynamic adjustment process of yield curve fluctuation with ECM model, analyze the Risk factors for yield curve fluctuation with the method of PCA. Chapter four is focused on the interactive relationship between yield curve and monetary policy. Chapter five is mainly focused on the interactive relationship between yield curve and fiscal policy. In this chapter, using variable parameters model and TARCH model, we analyze the timevariability and asymmetry of the influence of fiscal policy on yield curve. The Chapter six mainly discusses the curve’s predictive ability for economic cycle. In this chapter, using dynamic Probit-model, we test the curve’s predictive ability for China’s econmy fluctuation. Chapter seven discusses the Influence mechanism of external impact on China’s treasury yield curve in open macroeconomic conditions. The last part of this dissertation is conclusions and enlightenment.The main conclusions of this dissertation are below:1. There exists a significant cointegration relationship between China’s long-term and short-term interest rates. China’s yield curve basically meets the expectations hypothesis. The changes in rate spreads have a certain degree of "mean reversion" characteristic. The risk of yield fluctuation can be explained by three independent factors: horizontal, slope and curvature, in which horizontal factor occupies 90%.2. China’s yield curve changes can be divided into two areas, which have nonlinear characteristic. The indicator variables of monetary policy-output gap and inflation gap are related to the area of yield curve changes. Yield curve can reflects China’s monetary policy tread, which can be used as reference standards and analysis tools when conducting monetary policy.3. There exists significant two-way Granger causalty relationship between fiscal policy and term structure of interest rates. Fiscal policy carries a positive impact for rate spread, and rate spread also carries a positive impact for fiscal policy. The influence of China’s fiscal policy on yield curve has obvious characteristics of time-varying, cyclical, and asymmetry.4. Rate spread between 10-year and 6-month treasury is leading indicator of China economic cycle fluctuations, ahead of three phases. The term structure of interest rates is effective variables to predict the state of the economic cycle fluctuation, and prior information considering the state of economy is of great significance in prediction.The possible innovation of this paper lies in:1. Most of the existing literatures using stochastic process and no arbitrage equilibrium method in the study of the yield curve, but has yet to form a general theory of generally accepted. The stochastic model parameters is different from interest rates follow diffusion processes, this paper not only uses the vector auto regression, principal component analysis and other methods, also use the relationship with Markoff regime switching nature of the error correction model and qualitative choice model change features of the yield curve and macroeconomic are studied.2.Early studies on changes in the yield curve structure, most only consider the factors that affect its market microstructure changes, and a lot of modern macro-finance model is focused on the analysis of the relationship between domestic macroeconomic factors and changes in the yield curve. Existing research literatures on domestic macrofinancial models are mostly the use of foreign models to examine the reality of the domestic market, but there is no attention to external shocks. Therefore, on the basis of macro-financial model,which combined with China’s macro environment, not only to analyze the relationship between the structure of the Treasury yield curve and monetary policy, fiscal policy and the economic cycle, but also to study the yields of different maturities under the open economy interaction and exchange rate shocks.3.Domestic research literature mostly focused on the applicability of the theory is expected to build relationships and applications, yield curve and macroeconomic three aspects of the yield curve, the yield curve implied by the use of macroeconomic information to predict inflation the economic literature is less cyclical fluctuations. This paper not only analyzes the relationship between the yield curve spreads and levels with inflation, but also dynamic Probit-model to predict fluctuations in the economic cycle.
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