Research On The Dynamic Relationship Between Interest Rate Term Structure And Macroeconomic Variables

Interest rate term structure contains a large number of macroeconomicinformation. Researching the characteristics of interest rate term structure andrevealing the meaning of economic information, have a great significance for theanalysis of the trends of term structure、grasp the dynamic state of macroeconomicdevelopments and the contact between them.According to Keynes’s theory of interest rate transmission, the Fisher effect andthe Taylor rule, we analyzed the interaction between term structure andmacroeconomic variables theoretically. In order to confirm what the th eoreticalanalyzed, we constructed the vector autoregression affine term structure model thatcan accurately reflect the characteristics of the term structure of interest rates,besides,it can also measure the bidirectional impact of interest rate term str ucture andmacroeconomic variables. In order to explore the link between rate market andmacroeconomic variables through the data obtained, this paper estimates the dynamicrelationship of Shanghai interbank offered rate、repo rates and their spreads withmacroeconomic variables, these variables include the consumer price index,industrial added rate and so on. By calculating the forecasting capabilities of multiplesets of spread data to the economic growth and inflation, and the impulse response、variance decomposition results of both sets of macroeconomic data,to quantify thedegree of the size of the impact. Meanwhile, measure the degree of marketization ofborrowing market and repo market according to the result.The results show that China’s interest rate does include themacroeconomic-related information. The strength of the relationship between theconsumer price index、industrial added value rate and the structure of interest ratesare associated with the period of interest rates. Effect of China’s market-orientedinterest rate reform was remarkable.As a quasi-market interest rates on our market,interbank offered rate and repo rate have played the role of market interest ratebasically. Because of the close contact with the macroeconomic variables, interestrates is bound to play an increasingly important role in the selection andimplementation of monetary policy.