The Research Of The Term Structure Of Interest Rates And The Macro Factor Dynamic Effect

Interest rates term structure refers to the relationship between the spot interest rate and maturity rate,Generally determined by the actual transaction price of the bond market.In the mature financial markets,Debt interest rates term structure of each term bonds can not only reflect the Treasury bond market supply and demand,the overall level of market interest rates and change direction,is the important market pricing benchmark,but also is fine design debt and derivatives,science and the important basis of fiscal monetary policy.For our country,although the bond market starts late,but development is rapid,continuous development towards the direction of the interest rate marketization.And in recent years,along with the constant innovation of financial products,the term structure of interest rates in inflation and macroeconomic future direction has obvious advantages,many countries government sectors of the economy and businesses have stepped up to national debt term structure of interest rates and macroeconomic research efforts.Taylor rules of macroeconomics(Taylor,1993)shows that macro economic variables can be embedded into the term structure of interest rates in the model.At first,this paper summarizes the process of the development of the theory of term structure of interest rates,respectively described the traditional and modern interest rate term structure of interest rates term structure of several different methods.Traditional methods of term structure of interest rates introduced unbiased expectations theory,and the risk premium theory,market segmentation theory,liquidity preference theory four methods.Modern interest rate term structure introduced the coupon stripping method,the static NS model and dynamic NS model,the spline estimation method,the spline estimation methods of four methods.And analyze the advantages and disadvantages of various methods.In combination with the analysis of term structure of interest rates,this paper uses the central clearing company issued debt yields curve(i.e.fixed-rate bond yield curve between bank)at the end of each trading day rate data for analysis.Using principal component analysis(PCA)concluded three potential factor,and the three potential factors compared with traditional proxy variable analysis.Principal component analysis of factor is a good way to fit the term structure of interest rates change.Based on the potential factors,This article selects the relevant macro variables,analysis of the relations between them.Macroeconomic variables are divided into the real economy,inflation,monetary supply three aspects of a variable.Respectively using econometric model related to analysis of three aspects of the effects of macroeconomic variables on term structure of interest rates,and detailed analysis of the potential factor of term structure of interest rates for three aspects of the specific impact of macroeconomic variables.And based on the above analysis and discussion the relationship between the term structure of interest rates and inflation.Analysis results are as follows:macro economy for the long-term effects of the yield curve is positive,that is a good macroeconomic environment can improve the yield of long-term,countries can implement a series of measures to promote the development of economy.Slope factor according to the yield curve of short-and long-term spreads,it shows that the effects of macroeconomic variables on short-term benefits is not very significant.Of the real economy variables to the level factor,slope factor and curvature factor is relatively small,the influence of the economic growth is not a direct impact on yields.Inflation variables influence on various potential factors are obvious.Potential factor at the same time,the term structure of interest rates for the real economy variables change is relatively small,the influence of the response is not very significant.But for the contribution rate of changes in supply and interbank interest rates are very significant,can explain about 65%of the two variables change,so the interest rate term structure simulation and forecast can be a good basis for the establishment of monetary policy.Inflation for the reaction of term structure of interest rates change is relatively significant,countries will be according to the change of interest rates to inflation take certain prevention policies.Through an empirical analysis of this article related,the term structure of interest rates for has a good indicator of the macro economic operation.Previous articles selected macro variables is relatively small,it has a great deal of subjectivity.Aiming at this problem,then added more variable,and through the relevant measurement methods to select the macro variables affecting significantly,so that you can avoid subjectivity.Through the VAR model to analyze macro factor and potential factor of the response relationship between each other.Based on inflation and monetary policy and term structure of interest rates are analyzed in detail.Based on the analysis of term structure of interest rates,and does not take into account the no-arbitrage this condition.To the fitting effect of two kinds of term structure of interest rates and no detailed comparison.This article USES the monthly data,and can benefit rate curve of frequency is degree,so the frequency of the data can also be relatively increased.