The Research Of The Term Structure Of Interest Rates In China Bond

The term structure of interest rates is asset pricing, financial product design, value and risk management, arbitrages foundation, the term structure of interest theory research has been a hot topic in the field of bonds. With the development of China's bond market and interest rates market-oriented reforms, the formation of a representative of the market benchmark interest rate is the key. The bond yields reflect the financial market risk-free interest rate, is the bond pricing of other types of foundation, but also various types of financial products and measure return on the benchmark level. Issuance of treasury bonds is the interest rate the central bank control the market, an important means of macroeconomic intervention, the central bank's monetary policy is to pass an important carrier. But the bond market in terms of the number of products, product structure, market impact and so there is still much less, due to historical reasons, China's bond market is divided into inter-bank bond market and bond market transactions. Market fragmentation caused by multiple bond pricing, the two markets have different interest rate term structure, which will affect the unity government bonds interest rate formation mechanism, thereby affecting the process of marketization of interest rates. In this paper, the Chinese gradually accelerate the process of marketization of interest rates in the context of the term structure of interest rates summarized and theory and research findings based on the bond market interest rates of the two term structure of the empirical analysis.In this paper, the term structure of interest rates in theory and research results are described in detail, using the treasury stock transaction data and the inter-bank bond market, bond transaction data, using the maximum likelihood method to estimate the parameters of the CIR model, in which Matlab software program based on the fit obtained using the two markets of the Term Structure of Interest Rates. Study found that of spot bonds and forward rate yield curve and bond curves are proportional to the remaining period; with remaining maturity of the bonds increases, the spot rate curve and forward rate curves of the increase will be smaller; interbank spot rates and forward rates are higher than the same period the interest rate on the spot and forward exchange rate bonds. This paper argues that the inter-bank bond market term structure of interest rates applied to China's interbank pricing of floating rate bonds, financial bonds, the shorter the remaining period from theory when the full price and the actual trading of deviation smaller than the full price; financial bonds The theoretical long period of time remaining full price and the actual trading of large deviation compared to full price.