The Research On The Estimation And Influencing Factors Of The Term Structure Of Interest Rates In China

Interest rates,which reflect the supply-demand relationship of market capital,is a very important variable in the economics and finance field. The pricing of fixed income securities and other financial derivatives is based on interest rates.Therefore, interest rates have been the focus of the finance research.In recent years,steady progress has been made in the interest rate marketization.The marketization of the interest rates in bond market, credit market, money market has come out. The floating range of deposit interest rates was relax to 1.3 times of the benchmark interest rate in March,2015. In the process of promoting interest rate marketization reform in our country, the resource allocation function of interest rates is enhancing, interest rate fluctuations also become frequent.As a result,grasping the characteristics of the term structure of interest rates and studying the effect of macroeconomic factors on the term structure of interest rates,we can provide theoretical reference for policy making and reality basis for the policy evaluation.In addition,the research can also provide strong support on improving the bond market efficiency.This paper reviewed the traditional theories and modern estimation models about the term structure of interest rates,explained the mechanism of the effect of macroeconomic factors on the term structure of interest rates and introduced structural vector autoregressive model(SVAR model).On the basis of the state of our country,I stands that the term structure of interest rates in China accords with the theory of property priority.Moreover,we can use three phase spline function and Svensson model to estimate the term structure of interest rates in our country.Estimating the term structure of Treasury rates in interbank market by using above models and comparing with the estimation effect,I found that three phase spline function model was optimal in China.On the basis of the model parameters of three phase spline function,I got spot rates.Then I calculated and got three experience factors on behalf of characteristics of interest rate term structure---level factor, slope factor and curvature factor.Grasping the characteristics of the term structure of interest rates,I divided macroeconomic factors into three categories---including the real economy growth, monetary policy adjustment and price level fluctuations.Then I brought relevant variables into structural vector autoregressive model(SVAR model) and studied the dynamic effect of macroeconomic variables on the term structure of interest rates using the impulse response function and variance decomposition technique.The conclusions is as follows:(1)The difference of the interpretation of macroeconomic factors to level factor, slope factor and curvature factor is very big.The maximum degree of explaination is the impact of macroeconomic factors on curvature factor(about 60%),the second is on slope factor,and the minimum is on level factor(its highest explaination degree is only 30%).(2)The real economy growth is the most important and obvious factor that results in the change of the term structure of interest rates.In addition,the impact is most significant and lasting.(3)The response of level factor and slope factor to macroeconomic factors are volatile,so are the response of the curvature factor to monetary policy adjustment and price level fluctuations.However,the impact of the real economy growth on curvature factor is basically negative.(4)Monetary policy adjustment affects three factors of the term structure of interest rates to some extent.The impact of expansion of the monetary policy on the margin between short-term and long-term interest rate is positive,but there is time lag---about two periods lag.(5)The impact of price level on level factor is not significant and the empirical results do not conform to the theory.Yet, the impact on the slope factor and curvature factor is significant and the effect degree is approximate.Based on the above analysis results,I put forward several proposals on the Treasury bond market and regulatory authorities from five aspects: market liquidity,diversity of trading products, market efficiency, policy transparency and the real economy regulation.