Static Fitting And Application Interest Rate Term Structure

Research on term structure of interest rates has been one of the importanteconomic and financial research field, the research on term structure of interest ratesis quite mature abroad, but because the Treasury bond market in China started late,system is not perfect, development is not perfect, this is largely restricted thetheoretical research and innovation. In recent years, with the development of oureconomy and the deepening of the reform, the securities market of interest ratemarketization reform into deep waters, bond yields are also increasingly to undertakethe important task of the benchmark interest rate, on the basis of the Treasury bondmarket research the relevance of the term structure of interest rates andmacroeconomic also become a hot issue. In this paper, on the basis of the researchdata at home and abroad for reference, static fitting model of term structure of interestrates and macroeconomic and term structure of interest rates do the theoretical andempirical analysis, the correlation of specific content is divided into five chapters.The first chapter is introduction, the paper first introduces the researchbackground and significance, research ideas and the main content of the paper,secondly, introduces the scheme and technical route of this paper, the last is thedifficult point and paper can be innovative. The second chapter is literature reviewand related theoretical basis, in the literature review mainly introduced the researchstatus at home and abroad for the national debt term structure of interest rates, dividedinto foreign and domestic literature; Relevant theoretical basis to need to use thepaper summarizes the theory of the article. Third chapter using the NS model tosimulate the static term structure of interest rates, selected the Shanghai stockexchange on January30,2013, transaction data, fitting out of the spot rate curve,according to the characteristics of the curve illustrates the cause of interest rate termstructure curve, select201312months respectively after the last day of trading data ofShanghai stock exchange, selected representative for three months, fitting a curve,that illustrate the impact of macroeconomic changes on term structure of interest rates.The fourth chapter is about the term structure of interest rates and macro economic relevance of empirical test, first of all, the selection of different period of interestrate term structure curve made monthly change curve, and compared with the periodof the economic climate index and the CPI, explains the economic meaning of thechanges included in the monthly; Followed by the term structure of interest rates ofthe principal component analysis, the empirical results show that the term structure ofinterest rates in line with the three factor analysis, so that the macro economy doeshave an impact on the term structure of interest rates. The fifth chapter is conclusionand policy recommendations, in view of the above empirical results, make a summaryand give the feasible Suggestions for the reform of the Treasury bond market in China,the paper finally puts forward the insufficient research and future research direction.Though the Treasury bond market of our country starts late, now also present athriving scene, in the context of market-oriented interest rate reform, the Treasurybond market should also turn to seize the opportunity, unification issue market andcirculation market, ensure the healthy development of the Treasury bond market.