Research On Term Structure Of Interest Rate In The Treasury Bond Development Process

The issue of interest is one of the most important topics of the financial market. Almost all of the financial phenomena have relationship with it. Treasury bond market takes an important position in the financial market, Treasury bond interest rate is at the core of bond transaction. Treasury bond interest rate and the shape of the yield curve have an important impact on bond market, even on financial markets. On the assumption that the tax, risk of the bonds is the same, this article focus on the research of the government bonds term structure of interest rates. Intend to explore the relationship between interest rates and maturities, this article can provide some useful advice to the bond investors and policy-markers.The traditional theory of term structure of interest rate majors in researching the tendency of long term interest rate with return rate curve being the key instrument. Domestic models of the term structure of interest rates still remain at the level brief and qualitative analysis. Particularly, application of theoretical and empirical research on term structure of interest rates is almost blank.There are preface and seven chapters totally.Chapter one analyses the Status of Chinese Treasury bond market. Discuss what is the Treasury bond, because there are some fault understandings among domestic economists, so I have to define it.Chapter two to five is the theory base of this article. In this part, the author introduces the traditional term structure of interest rate, Unbiased Expectation Theory, Liquidity Preference Theory, Market Segmentation Theory, Preferred Habit Theory. The author collects all the materials about the term structure modeling in China and appraises each of these term structure modeling method used by Chinese researchers. The author introduces the most updated development in this field (the hedge and random process analysis method). It can also be called random process equilibrium model. And at last discuss the shape of term structure of interest rate. The last part is chapter six and seven, the author select all the treasury bonds transaction in Shanghai Stock Exchange. Under the assumption of all the bonds are the same except the maturity, using quadratic polynomial function to calculate the spot yield, and exploring the function between the spot yield and maturity. Through empirical analysis, the author find that government bonds yield curve, was hump-shaped distribution. Yield curve flattened is obvious and the 3-Year Bonds are apparent turning point. The last chapter is the advices to the investor and policy-markers, the author propose to perfect the treasury bond market.There are some characters in this paper:The first character is the sample selection in empirical analysis, the author select all the Treasury bonds transaction in Shanghai Stock Exchange. The data is very complete, so it can avoid some errors.Secondly, conducting regression analysis, the author did not use the spot yield directly, but use quadratic polynomial function, so the spot yield calculated by the regression equation has better continuity, fitting the real market better.Finally, the conclusion reveals that the yield curve is upward-sloping, which fits expectation Theory. This structure shows that the current economic environment has caused short-term interest rates remain low, there is a pressure to increase interest rates, and a premium inflation. It is obvious that the yield curve flatten.At last, as my knowledge is very limited, below there is some to improve: first the author use regression, but the advanced method is Random. And there are three treasury bonds markets, but the author just do the research on one of them.