The Impact Of Macroeconomic On Chinese And The Us Treasury Term Structure Of Interest Rates

Term structure refers to the relationship between spot rates with different period and maturity at some point. It offers important basis for pricing of asset, financial product design, risk management, investment arbitrage and central monetary policy. As for the research of term structure, Domestic and foreign both have done a considerable degree of exploration. However, a considerable part of domestic articles concentrate on the term structure of interest rates assumptions, estimating the term structure of interest rates and so on, which belong to microscopic aspects of interest rate term structure. The macro research of it is much less. With the development of Chinese economy, the process of China’s interest rate market is highly promoted and become one of the frontiers of current economics and finance. Though domestic scholars devote a great amount of energies on the macro research in recent years, there is great distance from the academic level of developed countries and whether the degree of macroeconomic factors impacting on Term Structure has changed or not during the financial crisis is unknown. Horizontal comparison has not been performed. As discussed in this article, the research areas are improved and enriched to an extent.The article firstly explain the theory, then made a empirical research. The main contents of this paper include status description about the relationship between interest rate term structure and macroeconomic in domestic and international and review of the theory of the term structure of interest rates, which includes traditional interest rate term structure theory and modern theory of the term structure of interest rates. We use Nelson-Siegel-Svensson model to make static estimating for interest rate term structure of Shanghai Stock Exchange during 2003 to 2013. We can observe that the interest rates of Chinese government bonds are sharply declining during the financial crisis of 2008. It corresponds the fact that China’s monetary policy change the tight monetary policy to reduce the interest rates, but the American bond yields start to decline sharply from June 2007, show that the reaction of the financial crisis of China is about a year later than that of America.Then the principal component analysis of interest rate term structure between America and China is focused in this article. The analysis find that the variance contribution rate between the first three major factors of Chinese government bonds and interest rate term structure are 60.21%,22.072%and12.335%. Their sum is up to 95.029%. And the rates between American government bonds and interest rate term structure are 90.901%, 8.62% and 0.334%. The sum is 99.87%.Then we focuse on the curvature of the factors, the value is usually 5% or less. For example, the curvature of the factors of America is 0.334% in this article. However the China’s is up to 12.335%. It is mainly caused by improper operations by the investors in domestic market. Thus interest rate term structure of China is twisted.Finally, we use the VAR model to analyze how macroeconomic factors affected interest rate term structure during the financial crisis and non-crisis period of China and American. The research find that the degree of influence of China is 30%-47% during normal period, which is lower than the degree of influence of American whose value is 55%-77%. During the financial crisis, the influence of macroeconomic factors to interest rate term structure both highly decreased. The degree of influence of American is3%-20%, which is lower than the degree of influence of China whose value is12%-30%.