National Debt Yield Curve Analysis And Applied Research In The Shanghai Stock Exchange

The term structure of interest rates is one of the most active financial application and research theory. The modern term structure of interest rates theory begins to form from the1970’s. The theory is normally used for analysis of the dynamic change of bond yields and the relations between macro economic variables. It is the benchmark of asset valuation, financial product design, capital maintenance and risk management, arbitrage and speculation, also the transmission mechanism for central bank controlling the short-term interest rates to influence the long-term interest rates. According to the above research background, this paper discusses the calculation process of bond yields, the fitting method of the treasury yield curve, the important theory value and practical meaning of the Chinese treasury yield curve research, based on the theory of the term structure of interest rates. At the same time, through introducing the treasury yield curve research abroad and home, this paper optimizes the calculation process of YTM and fits our country’s term structure of interest rates by the mature Nelson-Siegel parameter model. This paper proves Nelson-Siegel model is a relatively ideal method for static estimation of China national debt market’s term structure of interest rates. Meanwhile, the paper focuses on the application of term structure of interest rates in the investment field, analyzing the improvement on the bond portfolio investment strategy using empirical method.The features of this paper mainly displays in:proving the effectiveness of investment strategy in our country through the combination research of the active investment strategy and the term structure of interest rates. The paper also shows that the effect of united using of riding strategy and price theory based on Nelson-Siegel parameter model is superior to the effect of using riding strategy only in hedging. At last, this paper puts forward corresponding policy suggestion in the area of enhancing market liquidity, popularizing rational investment idea, promoting the innovation of financial product.