| Interest rate is the basis of asset pricing in the modern financial field,and it is also one of the important means of national macro-control.Because the term structure of interest rate can reflect the interest rate of different p Seriod bonds at the same time point,it has an important reference function for the central bank's monetary policy formulation and implementation as well as macroeconomic operation.Under the background of China's economy entering a new normal state,it is of great significance to study the relationship between the macro economy and the term structure of interest rate.This paper selected 15 main interest rate maturities samples,it covers from January 2006 to December 2017.First,the principal component analysis method is used to extract the horizontal factor,slope factor and curvature factor,which represents the characteristic of the curve.By comparing with the three factor proxy variable proposed by foreign scholars,it is found that the three factor obtained by principal component analysis has strong correlation with the proxy variables,and the three factor extracted by principal component analysis can explain the change degree of the bond yield 97%.Finally,we use VAR model to analyze the relationship between the above six variables.We use impulse response function and variance decomposition technology to study the influence of three economic factors on three potential factors of interest rate term structure.Conclusions are as follows: 1)in the level factor,reaction level factor influence on the economic growth index changes for positive and negative responses appear alternately,the change of economic growth to explain its intensity is also very small for the variables of monetary policy shocks,response level also reflected mainly in the fourth period.The inflationary level has the most significant and lasting influence on the change of the level factor,which is the most important factor that leads to the long-term change of the interest rate.2)in terms of slope factor,the impact of slope factor on economic growth,monetary policy and inflation is almost negligible in the first 3 periods.In the fourth phase,the response to the three shocks reached the highest value and then began to weaken.The three macroeconomic variables have little difference in contribution to slope factor change.Inflation and level factor are also the most important factors that cause the change of slope factor,followed by monetary policy change and economic value added is still the smallest.However,the contribution of the macroeconomic variables to the change of the level factor is 15%,and the three variables can only explain the change level of the slope factor 8%,and the influence is weak.This shows that the response of the interest rate term structure slope factor to the macro factors is not obvious in the national debt market.3)in terms of curvature factor,the positive impact of the real economy level and the direction of inflation causing the change of the curvature factor are the same.They all had a positive response in the first three periods,and then weakened,then there was a rebound.Both horizontal and slope factors are mainly caused by inflation.The contribution of price level to the change of curvature factor is the smallest,the main source of change is economic growth and monetary policy.The three macro economic variables have a strong explanation for their changes.4)From the perspective of US dollar index,the US dollar index has a significant impact on the overall interest rate level.From the change of slope factor and curvature factor,the impact of US dollar index has different effects on the yield of different maturity bonds.Combined with the research in this paper,we give some advice from the perspective of investors,the improvement of the national debt market and the process of interest rate marketization.In the end of this paper,some suggestions are given from the perspective of investors,the perfection of the national debt market and the process of interest rate marketization. |
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