A Study On The Term Structure Of Interest Rate Of Government Bond

With the development of the bond market, the researches pay more attention to this market.The thesis is to analyze the date chosen from Shanghai Stock Exchange, based on the spline method and data transformation in statistic diagnosis.Firstly, it discussed the research achievement domestic and abroad of modeling term structure of interest rate. And expounded the definition of data transformation.Second, several liner models has been studied. The parameter estimate of the restricted model with added variables has been given. And two methods of getting the transformation parameter have been introduced. At the end of the chapter, the influence analysis based on ridge combined principal components estimate has been discussed. Third, based on the B-spline method, it used the Atkinson method of the transformation parameter on the bond date and compared the results.Then, at the background of raising the interest rate on29th, Oct, 2004, it displayed the movement of the term structure of interest rate of bond, using the principal component method.