| Based on theories about term structure of interest rates, the thesis conductedworks on the fitting and the interpretation of the term structure, the correlationbetween the term structure and the macro-economic factors, the optimal termstructure and the integration strategy for the term structure of interest rates. Thethesis is composed of six chapters:Chapter1: Introduction. It discussed the background and meaning of thestudy, explained the concept and definition of the research subject-governmentbonds and interest rate term structure, and outlined the contents of the thesis andits innovations.Chapter2: Static Fitting of the Term Structure of Interest Rates. Firstly, thestatic fitting methods on term structure were classified, with the spline-seriesmodels, Nelson-Siegel and its extension model, Hermite interpolation modeldescribed in detail. These models were analyzed and compared in both theoreticaland empirical researches. Then, according to the small secondary market and thelimited data sample, this chapter introduced a new fitting model for term structureof interest rates-constrained smoothing B-spline model, and analyzed the basicassumptions and the characteristics of the model. Finally, an empirical researchwas made for the fixed-rate bond of inter-bank interest based on the constrainedsmoothing B-spline model.Chapter3: Test about the Expected Theory of Term Structure of Interest Rate.This chapter firstly introduced the four forms of the yield curve reflected by termstructure of interest rate, with the forming reasons of the yield curve explained. Itthen analyzed the main reasons for different results of empirical researches invarious countries. From the reasons, it proposed the application of Band SpectralRegression testing models and discussed the impacts on the term structure of interest rates by the frequency of bond issuance. Then the chapter proposed thetesting model of expected theory based on the band spectral regression and theHardouvelis regression for the testing. Finally, the chapter tested the expectedtheory of term structure of interest rate using the Shanghai Stock Exchange bondtrading data and foreign exchange trading center and National Interbank FundingCenter debt repurchase data, and compared the test results using spectralregression and traditional regression phase.Chapter4: the Inter-relationship Study between the Term Structure andMacro-economic Factors. The chapter firstly analyzed the impacting mechanismon term structure of interest rates by monetary policy, economic growth and othermacroeconomic factors based on expected theory. Then the chapter analyzedempirical research in this area. Subsequently, the chapter established anon-arbitrage affine bond pricing model taking macro-economic factor intoaccount, discussed the choice of state space for macroeconomic factors andproposed return regression model under non-arbitrage affine model and maximumlikelihood estimation method with Kalman filter. Finally, the chapter madeempirical research about the affecting of China’s macro-economic factors on theterm structure.Chapter5: the Research of the Optimal Maturity Structure of Debt. Thischapter raised the optimal maturity structure problem: short-term or long-termbonds. Then, it analyzed the basic factors which decide the optimal debt maturitystructure and constructed a dynamic optimization model of debt maturity structure.Finally, the chapter applied the relevant data for empirical research.Chapter6: the Policy Recommendations to Improve China’s Term Structureof Interest Rates. This chapter first discussed the important role played by fullterm structure of interest rates in a country’s economic and financial life,respectively, from government financing, financial deepening and monetarypolicies. Then, it described the conditions and obstacles to form a complete termstructure of interest rate bonds from three properties in the secondary market-tightness, depth and flexibility. Finally, this chapter analyzed the main problems of the term structure of interest rate, and promoted the strategic measures ofimproving of interest rate term structure.Through the above research, the main conclusions of the thesis are asfollows:1. The research on the fitting of term structure, the forming reasons of termstructure, the correlation between term structure and macroeconomic factors, theoptimal debt maturity structure and the construction strategies for a complete termstructure of interest rates has great significance on debt management policies aswell as macroeconomic regulation and control.2. The modified B-spline smoothing (COBS) well suits the condition thatChina’s bond market has seriously inadequate liquidity and the data sample is lessthe status quo. The empirical results showed that the term structure of interestrates of treasury bonds was basically a curve showing upward trend, short-termspot rate changes are more significant; long-term debt has relatively flat spotchanges in interest rates; and the changing of interest rate of media-long-termbonds has occurred steep trend.3. The prospect theory is the basic theory to explain the shape of the yieldcurve, and its role is irreplaceable. The influence of the frequency of treasurybonds was obvious on the term structure of interest rates, and therefore, spectralphase regression was used to examine the term structure of interest rates in China.Test results showed that prospect theory could explain partial of the interest rateterm structure of debt, and as the interest period extended, its interpretation abilitywas reduced. However, traditional OLS model rejected the prospect theory.4. Based on the prospect theory, the monetary policy, economic growth andother macroeconomic factors will influence the term structure of interest ratethrough the expecting of short-term interest rates. The empirical research based onthe non-arbitrage affine bond pricing model, which took into account a variety ofmacroeconomic factors, showed that, inflation and monetary policy hadsignificant impact on the term structure, and the impact of interest rate on its ownlagged term was greater than the impact of macroeconomic factors on the interest rate term structure term. This shows that the transmission mechanism between thebond yields and macroeconomic has not been formed.5. By analyzing the debt crisis country’s debt portfolio, and combining thethree elements determining the optimal interest rate term structure, it is optimal toissue short-term debt maturity structure. An empirical study of china’s nationaldebt showed that: the term structure of debt management and debt managementpolicies were closely correlated; short-term debt had high level of sustainability;long-term debt had no obvious effect on tax smoothing; shorter maturity bondsseemed to improve social welfare. Therefore, the short-term government bondsshould be issued more.6. The full term structure plays an important role in government finance,financial deepening and other aspects of monetary policy. The condition andbarriers to form a complete term structure of interest rates include themacro-economic status, debt management policy, investment infrastructure,monetary policies and the reform steps and so on. The main reasons that affect theintegrity of the term structure include the small-scale, single-financingmechanisms, irrational market structure, risky market, the limitation of debtcontrol of central bank. The specific measure strategies for the improvement ofthe term structure of interest rates include deepening the primary market andsecondary market, expanding investor base, strengthening market infrastructure,strengthening supervision, standardizing the behavior of central bank financing,and so on.The main innovations of the paper are the following:1. A modified smooting B-spline smoothing (COBS) is propoed based on thefact that the data sample size will affect the fitting effect of the interest rate termstructure and the actual situation of our national debt data sample. The modelenables the situation that the lackness of market liquidity and the lack of datasamples.2. Applying spectrum regression method to test whether the expectationstheory of the term structure of our national debt to avoid the empirical problemsthat more small data samples more likely to reject the theory. The test results show that the expectations theory may partly explain the term structure of interestrates of the national debt3. Bond Pricing arbitrage affine mode is proposed to considermacroeconomic factors. The model considers a variety of macroeconomic factors,especially the fiscal policy factor. The empirical study shown the conductionmechanism between bond yields and macroeconomic variables has not realizednow.4. Building a dynamic model of the optimal maturity structure of governmentsecurities, abstracting short-term and long-term treasury bonds strategy to one andtwo term government bonds issued, using of Markov process to describe shift ofthe national debt management policies which obtained two equilibrium modelunder the species of the issuance of treasury bonds and the corresponding interestrate decision model. A policy recommendation is that we should issue short-termtreasury bonds. |
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