An Empirical Analysis On The Term Structure Of Interest Rates In The National Debt Repurchase Market

The term structure of interest rate refers to the relationship between the maturity yield of maturity bonds and the maturity date of bonds under the condition that other factors such as tax,risk level and liquidity are all the same.It can reflect the effect of time on interest rates.Interest rate has always been a fundamental and important variable in the field of financial research,and the term structure of interest rate has also been a very important fundamental research work in the field of financial engineering.The first chapter introduces the research background and significance of the thesis,and then the second chapter reviews the important literatures on the term structure of interest rate at home and abroad.The third chapter mainly introduces the relevant theoretical knowledge from three aspects:the economic theory explanation of interest rate term structure,the static and dynamic term structure model of interest rate.In the static interest rate model,the exponential spline method,NS model and Svensson extended model are described in detail.The dynamic term structure model of interest rate is introduced from the perspective of equilibrium model and arbitrage-free model.The fourth chapter introduces the two-factor Vasicek model used in this paper.At the same time,the Kalman filter estimation method and the spatial state transition of two-factor Vasicek model are described in detail.The fifth chapter is the empirical part of the term structure of interest rate.Firstly,the paper makes descriptive statistics on the data of pledged repo interest rate of Shanghai Stock Exchange,and tests the data for stability,then extracts two main factors by principal component analysis,determines the initial value by regression method,and then estimates and optimizes the parameters of the model by Kalman filter estimation.After the parameters of the model are determined,the parameters are substituted into the model and the pricing formula is used to analyze the pricing of national debt.By observing the analysis results,we can find that bond pricing error is large,so we decided to correct the error,and established the index model and OLS estimation model of pricing error respectively,compared and analyzed these two models,and finally selected the OLS estimation model as the Error model.After the correction model of pricing error is obtained,the revised pricing of national debt is carried out,and the new pricing result of national debt is obtained.The main conclusions of this paper are as follows:through the principal component analysis of repo rate data,it can be seen that the two-factor model can describe the dynamic changes of interest rate comprehensively;Using Kalman filter to estimate the model parameters,the pricing error is found to be large;After the correction of errors,the pricing error rate of the revised model is significantly reduced,and the pricing error of national bonds with short remaining maturities is relatively smaller.Therefore,it can be concluded that the pricing error rate(absolute value)and the remaining maturity change in the same direction.