Empirical Analysis Of Interest Rate Term Structure And Macroeconomic Variables Based On Nelson-Siegel Model

Interest rate is the cornerstone of financial market,whether it is the pricing of assets,or risk management are inseparable from the interest rate;and interest rate term structure as an important part of interest rate research,play an important role in financial asset pricing,risk management and other aspects.Through the study of the term structure of interest rate,we can get the yield curve contains the forecast for macroeconomic trends,as well as the expectations of monetary policy;reflect the interpretation of monetary policy by the financial market and the operation of the real economy,and inspect whether the policy transmission mechanism is smooth.On the whole,the study of interest rate term structure,in line with China’s development stage,has a certain theoretical and practical significance.This paper focuses on the horizontal factor、the tilt factor of the term structure of interest rate to do a certain study,and makes a analysis on the correlation between the horizontal factor,the tilt factor and the macroeconomic variable.In this paper,the Nelson-Siegel model is used to fit the interest rate curve.The three parameters of the model have good economic meaning,which reflects the horizontal factor,the tilt factor and the curvature factor of the term structure of the interest rate,and the three factors could explain more than 90%of this structure.The results show that there is a strong relationship between the parameter β₀ and the yield of each term.And with the increasing of yield,the correlation between the two is more obvious,so the parameter β₀ can be used as the horizontal factor of the term structure.It also shows that the parameter β₁ can reflect the inclination change of the term structure in a certain extent.The parameter β₁ can be used as the tilt factor of the term structure.After we obtained the interest rate term structure factor,we studied the relationship between the horizontal factor,the tilt factor and the macro factor.Here we use the Granger causality test and do the pulse analysis.We chose the inter-bank nightly weighted pledged repo rate representing the monetary policy,the industrial added value on behalf of the real economic rate of return,the consumer price index representing the inflation level,and the offshore renminbi exchange rate on behalf of the foreign exchange market;The test found that the level factor of the term structure contains information of monetary policy,economic conditions of operation and inflation.On this basis,the impulse response shows that for the impact of monetary policy、inflation,the level factor is positive;for the positive impact of industrial added value,the level factor is negative reaction in the second,and then would express as positive;and With the passage of time,the impact will gradually become gentle.At the end of this paper,we have carried on the thorough research through the Markov area system transformation model,analyzing the information contained in the control state,found that the low level factor state corresponds to the more relaxed monetary policy,Low real economic growth and inflation.On this basis,we will also be included in the macroeconomic variables into the model analysis,empirical results show that the low level factor is indeed with the loose monetary policy,low real economic growth and inflation of the macroeconomic environment by the same state control.This paper shows that there is a strong correlation between the level factor,the oblique factor and the macroeconomic indicators.Taking the horizontal factor as an example,monetary policy tightening,interbank overnight pledge weighted interest rate would be up,resulting in the level of the uplink;and the state of economic operation can be achieved from the industrial added value year on year growth.Industrial value added,which means that the return rate of real economy would improve,leading the level factor uplink;In addition,we can see that with the rise in inflation,the level factor will be expanded.