Research On The Correlation Between The Term Structure Of National Debt Interest Rate And Macroeconomic Variables Under Different District Systems

The term structure of Treasury bond interest rate gives the risk-free rate of return with different maturities,which reflects the influence of time on Treasury bond interest rate.On the one hand,the term structure of interest rates at different times for the future discounted cash flow and risk management provides a theoretical support,is also set to provide the basis for a variety of securities prices,on the other hand,it contains a lot of macroeconomic information,therefore,to study the correlation between the term structure of interest rates and macroeconomic variables will help the government formulate appropriate monetary policy and inspection results.Existing of national debt interest rate term structure and macroeconomic variables of the relationship between research,although the time point of view explains the Treasury term structure of interest rates and the linear relation between macroeconomic variables,but not considering that China is in transition,economic development entered the new era,China's economic development has entered a new normal,macro economy is facing the double impact of institutional change and structural adjustment,speed from rapid growth to fast economic growth,optimizing the economic structure of the upgrade.Based on this,this paper introduces the regional system transfer factor to study the dynamic relationship between the term structure of interest rate and macroeconomic variables under different regional systems.The main research contents of this paper are as follows:First,this paper uses the dynamic Nelson-Siegel model to fit the data on government bond yields in the interbank government bond market from 2005 to 2018 for 3 to 360 months,and extract the three potential factors of level,slope and curvature,and separate them from the actual long-term,short-term and medium-term.The interest rate has been compared and analyzed,and it is found that the fitted value has a strong correlation with the actual value,so it can be used as a proxy variable to analyze the term structure of the interest rate.Then this paper tests the effectiveness of MS-VAR and linear VAR.The results show that the two-region VAR model is more effective than the linear VAR model.Three factor and so on national debt term structure of interest rates and the industrial added value growth rate,CPI growth and interbank funding the weighted interest rates and other macroeconomic variables to build the transfer vector auto-regressive model,Markov zone system in the macro economy can be divided into low speed stage,and high-speed development stage,found in 2008,our country economy,in 2012 and 2014 have taken place in the area around the system transformation,which in 2008 and 2012,the area system transfer the main reason is that the outbreak of the financial crisis and the euro crisis,and in 2014 the area of the main causes of system transformation is the transformation of economic structure in our country.Zone of transition probability and the regression coefficient,according to China's economic growth at high speed and low speed growth stage in the change,between slow growth stage in the economy is in a slightly longer than the time in the growth stage of time,in the slow growth stage to maintain itself in the system of the probability is higher,and the average duration is longer,the slow growth stage in economy that it is easier to maintain its own state.At the same time,high growth is accompanied by high volatility.From the regression results,it can be seen that the economic growth speed is higher and the volatility is higher under the regional system.Finally,this paper analyzes the impulse response between the term structure factor of government bond interest rates and macroeconomic variables,and finds that there is a regional dependence on the relationship between the term structure of government bond interest rates and macroeconomic variables.The underlying factors of the maturity structure of the national debt interest rate under different regions are roughly the same as the direction of the macroeconomic change impulse response,but the response degrees are different.The potential factors of term structure of Treasury interest rate and macroeconomic variables all show positive responses to their own shocks,but the degree of response is stronger under the regional system.From the impact of macroeconomic variables on the term structure of Treasury interest rate,the increase in output and inflation will make the short-term Treasury yield rise,causing the short end of the Treasury yield curve to rise and the curve to become more gentle.The tightening of monetary policy causes long-term Treasury bond yields to rise,especially in the stage of rapid economic development.In the stage of rapid economic development,the term structure of Treasury bond interest rate is sensitive to the changes of macroeconomic variables.Therefore,various policies adopted by the government in the stage of rapid economic development can better control the Treasury bond yield.From the prediction of term structure of Treasury bond interest rate on macroeconomic variables,long-term Treasury bond yield is more suitable as an important indicator of monetary policy changes in the stage of medium-low economic development,while short-term yield changes have a greater impact on inflation factors.At a time of rapid economic development,rising long-term Treasury yields are more likely to signal higher inflation in the future.The possible innovations of this paper are as follows:(1)The method of determining the attenuation rate X is innovative.Most of the existing methods for determining the attenuation rate based on the dynamic NS model are directly based on the research data of Diebold and Li(2006),but there is a large difference between the Chinese government bond market and the US government bond market.Obviously,it is not appropriate to directly use the research data of Diebold and Li(2006)as the method for the decay rate of Chinese government bonds.Therefore,this paper uses the maturity structure data of China's treasury bonds to first traverse X,and then we fit the monthly parameters ?1t,?2t,?3t in the sample interval based on the given X value,and calculate the monthly average residuals corresponding to each ?.Finally,the X that minimizes the square sum of monthly mean residual squared is selected as the optimal value.(2)Most of the existing literature on the relationship between interest rate term structure and macroeconomic variables establish a single-region VAR model for research,but this is inconsistent with China's rapid economic development.Based on China's national conditions,this paper establishes a two-zone Markov vector auto-regressive model for interest rate term structure factors and macroeconomic variables,and explores the correlation between the term structure of government bond interest rates and macroeconomic variables under different district systems.