Term Structure Of The Empirical Analysis

Treasury bond is the kernel of China' bond market as a interest related product. The variation of interest rate connects the whole market variation system. Market oriented reform of interest rate is an important part of China's financial reform . In order to further understand the long term and short term of the supply -demand relationship in the bond market, expose the level and direction of the market interest rate and provide a reference for investors and government management, analysis of the term structure of bond interest rate is necessary. This paper, based on the bond transaction data of Shanghai Stock Exchange, uses Spline Approximation and Principal Component Analysis to analyze the term structure to analyze the term structure of domestic bond interest rate. By using Splines Model ,we estimate the bond's term structure of shanghai stock exchange ,then we have a static analysis to it and obtain the statistical feature of term structure. By using Principal Component Analysis method to study the factors governing the variation feature of coupon yield curve in china ,we find that the level factor ,slope factor and curvature factor account for the variation of yield curve by 61.57%,16. 55 % and 11.29 % respectively with the total capacity up to 89.41%. The three factors have a different impact to the different maturity spot rate. In the last part some suggestions to domestic bond market is put forward.