Analysis Of The Influencing Factors Of The Yield Curve Of National Debt In China

With the rapid development of China's bond market and the promotion of interest rate marketization,the effect of the yield curve of national debt is also very important.In an effective market economy,the yield curve of treasury bonds can become the benchmark interest rate of financial market.It can serve as a barometer for investors to determine the trend of market development,and also a reference for pricing financial products.Therefore,it is very important to study what factors affect the yield curve of national debt.First,we use the Nelson-Siegle model to fit the yield curve of China's treasury bonds,and propose horizontal factor,slope factor and curvature factor to describe the form of yield curve.On this basis,we use error correction model to study three macro variables(the broad money supply growth rate(MGR),the residents' price consumption index(CPI)and the industrial added value growth rate(IPG)over the three factors.The results show that the influence of the year-on-year growth rate on all factors is the largest from the results of variance decomposition.In the short run,the growth rate of industrial added value has a positive impact on the level factor,that is,the long-term interest rate level.When the growth rate of industrial added value increases,the level of long-term interest rate is rising.The change of the growth rate of industrial added value also has a negative effect on the slope factor.The slope factor represents the influence on the short-term interest rate.When the growth rate of industrial added value increases,the slope factor decreases and the curve slope becomes flat.The growth rate of money supply has a negative impact on the level of long-term interest rate,which also has a negative impact on slope factor,but has a positive effect on the curvature factor.The effect of CPI on the long-term interest rate level is positive,while the slope factor and the curvature factor are negative.It is shown that the growth of CPI will lead to the upshift and flatness of the yield curve.