Empirical Study Of Interest Rate Term Structure In China

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. With the great advance of the interest rate marketability of our country and the rapid development of bond market, the term structure of interest rates is always playing a sufficiently crucial role in pricing the fixed income securities, managing the risk of interest rates and establishing the monetary policy. So it is completely significant to have a research on the topics of constructing the yield curve, which is consistent with current conditions of bond market in our country, and examining the moving characters of term structure. Also, it is very sensible to discuss the applications of the term structure to pricing the interest rate derivatives and measuring and managing interest rate risk. So it becomes more and more important to study the term structure of interest rate in China now.Treasury bond market takes an important position in the financial market, and the interest rate is at the core of bond transaction. This thesis is to study the yield curve upon the basis theories of term structure. It introduces domestic and abroad of modeling the yield curve of treasury bond systematically in the part 1 and 2, then applies the typical methods---- Nelson-Siegel parameter model----to the bond market of China. Treasury bond interest rate and the shape of the yield curve have an important impact on bond market, even on financial markets. In the last two parts, we focus on the research of the government bonds term structure of interest rates, explore the relationship between interest rates and maturities, find out the roots of these problems in bond market and suggest the solutions to deal with the problem.According to the study of this thesis, many faults still exist in the research, So we need to study further to do more research on it in our learning.