The Research On Static Fitting Of The Interest Rate Term Structure In China

The value of interest rate, which is the price of funds, is different with the fund's maturity, and the term structure of interest rate is the combination of those different values. There are two methods to study the fitting of the interest rate term structure currently, which are the dynamic method and the static one. The static method is to fit the term structure at a point in time using the market information at that time according to a particular standard, and the dynamic one is to describe, based on the result of the static fitting, the change of the term structure using the random process. The dissertation uses the static method to fit the term structure of Chinese treasury market.The dissertation includes seven sections. After the introduction (chapter one), in chapter two, the dissertation reviews the overseas development of the static fitting technique of interest rate term structure, and then comments the domestic study status of this technique, which is developing with the marketization of interest rate and the development of treasury market. Then from chapter three to chapter five, the dissertation uses the different fitting techniques, including interpolation, linear programming, spline, and parameter method, to study the interest rate term structure of Chinese treasury market. The empirical results show that:first, the methods of linear programming and non-linear interpolation would be affected by exceptional value very easily, and though the linear programming can avoid solving more than one security in one period of interest payment,that is without single solution,the hypothesis of it that the discount rate would increase with the lengthening in duration would limit the diversity of the shape of term structure; Second, the method of polynomial spline can fit the interest rate curve with higher precision in short and middle term, but it can't solve the problem of fluctuation in long term. Third, through empirical study on two B-spline functions, it's found that: the term structure fitting using Powell (1981) B-spline function as basis function has higher stability and precision; and the term structure fitting using Lancaster-Salkauskas B-spline function as basis function has lower stability while the advantage of the flexibility of node choosing, but more nodes would make the curve fluctuate in middle term. Finally, through empirical study on two main parameter models, which are Nelson-sieglemodel and Svensson extended model, it's found that the shape of the curve described by these models includes all characters of the term structure, but the calculated amount is too big. Besides if the term structure is simple, using Nelson-siegle model to fit the term structure will be more precise because the parameters are less. In chapter six, the dissertation studies the effects of using the smoothing technique on the interest rate term structure.Chapter seven is the evaluation of the models. The author thinks that there are at least two criterions while evaluating the economic model, which are the precision of fit and the economic explanation for the model. Through using the principal component analysis, it's found that there are three main factors to affect the term structure, which are level, slope, and curvature. Then the dissertation analyzes these factors in detail with the characters of transaction behavior in Chinese treasury market. The author thinks that Nelson-siegle model does well in both precision and economic explanation, so it can be used better as both the tool of asset pricing and the reference of macro-economic control. In addition, the term structure fitting using Powell B-spline function can be used as the reference because of its higher stability. Of course, the precision of fit is high or not is related not only to the model structure but the integrity of the data. So it's the key whether the efficiency of security market is high or not because the data information used in static fitting is received according to the market. Finally, the dissertation proposes the policies on perfecting the transaction institution of Chinese treasury market and improving the precision of fitting the interest rate term structure.In a word, the dissertation expresses the opinion on the model choosing after comparing generally the precision and the smoothness of all kinds of the static fitting techniques and analyzing intensively the main factors affecting the term structure.