Empirical Researches On The Yield Curve Of Government Bond

The dissertation firstly illustrates the great theoretical value and practical significance in the study and reviews the theoretical achievements of the term structure of interest rate at home and abroad, then brings forward the general outline and the problems to be solved. Secondly , the term structure of interest rate is analyzed by qualitative method on the characters and the dynamics of yield curve , benchmark rate and the relation between yield curve and monetary policy.Briefly using the empirical methods in the main body of the dissertation, the former part explores the construction methods of the yield curve at home and at abroad . The term structure of interest rate of Chinese government bond is fitted by cubic polynomial functions. Comparative Researches are made in detail between the yield curve of China and that of the United States .The differences between them are analyzed, and the reasons of the deflections are found out. In the latter principal components analysis of term structure is done to show that the ratio which can be explained in terms of level, slope and curvature. The research results show that the term structure of interest rate of Chinese government bond became the embryonic form of benchmark rate. In addition, some economic and systematic factors affect the government yield curve.In finally, the differences between Chinese government bond market and developed countries government bond market are analyzed. On the foundation of the analysis, this paper suggests systematic reform policies for the development of Chinese government bond market.