An Empirical Study On The Relationship Between Interest Rate Term Structure And Inflation In China

As the process of marketization of interest rate in China progress step by step,the research about the relations between the term structure of interest rates and macroeconomic also gradually becomes a hot spot in the field of financial research. It has been highly concerned by academic and policy authorities.In our country,the term structure of interest rate is in gradually perfect process. Also the resource allocation function of interest rate has become increasingly significant. Therefore, it becomes feasible and has important theoretical and practical significance that the research about whether the term structure of interest rates can predict the future economic trends.On the basis of existing theories and previous studies, firstly, this paper theoretically analyzes the interaction between the term structure of interest rates and inflation. Then,the author use several methods of Econometrics, such as ADF unit root test, Grainger causality test, impulse response function and variance decomposition. By constructing a VAR model, selecting the2006.10-2013.12monthly Shibor and CPI data, and with the help of Eviews7tool, this paper studies the predicting ability of term structure of interest rates to inflation by empirical analysis. This paper draws the following conclusions:(1) Term structure of interest rates in China contains obvious inflation information;(2) Interest-rate spreads of different maturities perform different in forecasting inflation. Medium-term Interest-rate spread proves to be the best predictor. In the end, this paper gives some policy recommendations. In order to truly let the corresponding structure of supply and demand in the capital market to determine interest rates. Our country should accelerate the process of marketization of interest rate and loosen the benchmark deposit and lending interest rates control.