| Interest rates,as the basis for asset pricing in modern finance,play a pivotal role in national macroeconomic regulation.The term structure of interest rates can better reflect the changes in interest rates of different maturities at the same point in time,which is an important reference for the central bank’s monetary policy formulation,implementation and research on macroeconomic performance expectations.As a forward-looking indicator for the central bank to monitor economic performance,the term structure of treasury bond interest rates contains macroeconomic information on output,inflation and economic cycles and can set pricing benchmarks for financial markets.From the perspective of liquidity preference theory and the term structure of interest rates,the term structure of interest rates contains information about the public’s expectations of future interest rates and inflation.This paper provides a systematic review of the theoretical and empirical literature on the term structure of interest rates at home and abroad,especially on the mechanism of the term structure of interest rates and macroeconomics,and explores the mutual effects of benchmark interest rates,inflation rates and the term structure of interest rates of treasury bonds according to the actual situation of the treasury bond market in China.This paper firstly explores the interaction effect between the term structure of interest rate,benchmark interest rate and inflation in China’s treasury bonds based on the traditional VAR model,and then derives the correlation equation between the term structure of interest rate and residential inflation rate and short-term interest rate using Lucas-Tree model,expresses the equation as a state-space VAR model,the model uses GMM estimation method to estimate the parameters and uses the model to conduct impulse response analysis,fit the mean,volatility,autocorrelation coefficient and inflation rate of China’s government bond yields,and perform robustness tests,and finally explore the relationship between the government bond and inflation rate.This paper obtains the following conclusions:(1)inflation rate and benchmark interest rate have a large effect on the term structure of Treasury interest rate;(2)the term structure of Treasury interest rate affects the future trend of inflation rate;(3)the Lucas-Tree model based on economic theory jointly models inflation rate,benchmark interest rate and Treasury yield curve,and its fitting of inflation rate and Treasury yield curve The effect is significantly better than that of the traditional VAR model.Finally,based on the research results,some policy recommendations are proposed to the government and other decision-making departments:moderate deregulation of interest rates,pay attention to the fluctuation of short-term interest rates in the bond market,and improve the bond market conditions by regulating the liquidity of bond market funds. |
