A Study Of Interest Rates Term Structure Models For Monetary Policy And The Applications

In the context of innovation and development in the global financial market's and study of finance, interest rates are becoming more important as information indicators for making monetary policy and as instruments for conducting. With the accelerating marketing process of interest rates, it is necessary to link interest rate term structure with monetary policy and to study the usefulness of term structure for monetary policy, so as to assist the macro-control.At first, the significance of term structure for monetary policy strategy is explored. Based on describing monetary policy strategy, two kinds of function of term structure- as a monetary policy indicator and as a transmission channel- are abstracted and studied further.As for interest rate term structure being indicator, a term structure model for extracting information about monetary policy is constructed, so as to acquire market expectation about economic condition and monetary policy from financial market, and use the information to help making and conducting monetary policy. The whole model consists of theory testing and practical estimating. The former is testing the Expectation Theory and the Expected Inflation Theory, since they are the theoretical bases. The latter is estimating forward rate curve and risk-neutral density, since it is essential for obtaining desired expectations to estimate the mean and uncertainty of forward rate. As for interest rate term structure being transmission channel, a kind of macro term structure model for examining transmission effects of monetary policy is constructed, which overcomes the limitation of traditional models. According to emerging market'characteristic, the macro term structure model for examining liquidity effects integrate the observable monetary policy into a dynamic term structure model, to test its effects on term structure. According to developed market'characteristic, the macro term structure model for examining interest rate transmission effects integrate rates with policy and macroeconomic index, to test monetary policy's effects on interest rates and real economy.As regards the term structure model for extracting information, with data from China Interbank Treasury bond market, both the Expectation Theory and the Expected Inflation Theory are empirically accepted, and the Svensson forward rate curve estimating model exceeds other competitors for its fitness and robustness. Using simulated data, the spline-strike stands out among the risk-neutral density estimating models. Finally, a comprehensive application research displays the models'practica- bility.Subsequently are the empirical results of the macro term structure model for examining transmission effects. Applied to China Interbank Treasury bond market, the liquidity-effect-testing model catches much the dynamic relationship between term structure and monetary policy, shows a significant interaction between them, reveals the 7-day repo rate is better than overnight repo rate for monetary policy index, and argues policy rate adjustments can influence the whole interest rate term structure including short, medium and long term. Applied to U.S. Treasury bond market, the interest- rate- transmission-effect-testing model has significant parameter estimation, displaying undeclinable influence of monetary policy on interest rate latent factors, negative effect on output and inflation, positive effect on short-term interest rate, and negative effect on long-term interest rate due to inflation expectation decreasing under positive shock of monetary policy.Conclusively, based on empirical research results, practical conditions, and literature, a comprehensive analysis is made about the practicability of interest rates term structure models for monetary policy in China, and about the policy advice on financial market development in China.