An Empirical Study On The Term Structure Of Interest Rate And Macroeconomic Correlation In China

The interest rate term structure is a curve of the yield to maturity of different periods.In the financial sector,it is the basis for pricing financial assets and derivatives.In the macroeconomic field,it contains a lot of economic information,which can predict the future economic trends,monetary policy for the policy to provide effective information.Therefore,it is of great theoretical and practical significance to study interest rate structure in depth.Based on the theoretical basis of interest rate term structure,this paper constructs the dynamic model of interest rate term structure.Firstly,based on the dynamic Nelson-Siegel model,the interest rate term structure of China is fitted to obtain the three factors of horizontal,slope and curvature of interest rate term structure.Secondly,according to the results of the NS model to improve,proposed a double slope factor LSSC model,the interest rate term structure of the four factors.The results show that compared with the three-factor NS model,the double-slope factor LSSC model enhances the ability to explain the short-term interest rate,and can better fit the term structure of interest rate in China.On the basis of Taylor 's rule,the macroeconomic variables are constructed,and the double-slope factor LSSC model fitting factor and the macroeconomic indicators are used to construct the VAR model to analyze the mutual influence between the interest rate structure and macroeconomic variables.The results show that the relationship between interest rate term structure and macroeconomic variables is linked.First of all,from the macroeconomic variables on the role of interest rate term structure,industrial added value on the interest rate structure of the three factors have a significant effect,the impact of inflation rate to the interest rate structure of the three factors to bring the response is lasting and stable.Secondly,from the effect of interest rate term structure on macroeconomic variables,the horizontal factor has a strong ability to explain the inflation rate,and the curvature factor has a significant effect on the money supply.