The Comparison Study Of Chinese Market Yield Curve

Since the last decades, fixed income market has experienced fast growth. A great deal of innovation products are successfully introduced into this market. A survey indicates that about two-part of the whole security market value comes from the fixed income market. Thus, understanding how these products price is vital for both issuers and investors. Recently, with the development of China's opening-up and reforming, its bond market becomes larger and larger. Constructing a reasonable and effective benchmark yield curve is also an important issue for both practitioners and scholar researchers.The aim of this dissertation is to find reasonable yield curve (models) and characteristic of the moving modes of the yield curve adapted to China's current condition.At the beginning of the dissertation we introduce the background and motives of this study simply. Then review the past study about the interest rate term structure, especially introduce the dynamic interest rate term structure model according to a nature taxonomy, i.e. how many factors, whether affine or whether equilibrium model. In addition, the dissertation discusses the traits of those models. The third chapter compares the Shibor curve and interbank bond market zero yield curve with the tools of principle components analysis and factor analysis. The qualitative and quantitative analysis results show that the zero yield curves derived from risk-free bond of the interbank bond market may used as benchmark, while Shibor yield curve currently lacks of the benchmark function. After this work, the dissertation empirically compares the traditional static interest rate term structure model, i.e. B-spline method, Nelson-Siegel model and Svensson model using the data of the risk-free bond in the interbank market in order to find the best model. The results show that there exists tax effect in the zero yield curve of the interbank bond market. That's, the Svensson model considering tax-effect has more power of good-of-fitness.Besides good-of-fitness, the stability in time is the same important for yield curve. However, in the low frequency trading bond market the static interest rate term structure usually are not stable. To overcome the short of the interbank bond market, which has relative few bond types and less trading frequency, the dissertation combines the dynamic interest rate model and panel data to estimate the current yield curve in the fifth chapter. The study finds that this dynamic method gets not only sound good-of-fitness but also satisfied stability in time.Due to the importance of dynamic behavior of the short-time rate for dynamic interest term structure and volatility of the short-time rate for curvature of the yield curve, the dissertation also studies the behavior of the short-time rate and its volatility. The empirical results show there indeed exists Markov regime switching in the short-time rate of China.