Empirical Research On Term Structure Of National Debt Interest Rate Based On Nelson-siegel Model

The term structure of the interest rate is the relationship between the bond interest rate and the remaining maturity of the different residual periods and the law of change at the same level of risk.In the field of Finance and economics,it is a fundamental research with great significance.At the macro level,the central bank can obtain information support from it in the formulation and implementation of monetary policy.At the micro level,the term structure of interest rates is the basis for all fixed-income securities pricing,financial derivatives pricing,asset pricing,and disclosure of the overall level and direction of interest rate market changes.And it is a basic analysis tool for investors.Therefore,this paper is mainly based on the original Nelson-Siegel(NS)model,dynamic Nelson-Siegel(DNS)model,and dynamic Nelson-Siegel-Svensson(DNSS)model to fit the monthly data of China's bond yield from January 2007 to December 2016.And it is found that the fitting effect of DNS model and DNSS model is better than NS model.Then the data is predicted by the model with better fitting effect,and the prediction effect of the DNSS model is better than the DNS model.Finally,in order to further explore the dynamic interaction between the term structure of interest rates and macroeconomic variables in the market,in the fifth chapter of the article,four representative macroeconomic variables were selected.It establishes a VAR model together with the potential parameters of the DNSS model,and analyzes the dynamic interaction between the two.