An Empirical Study On The Influence Of Macroeconomic Variables On The Term Structure Of Treasury Bond Interest Rates

The term structure of interest rate refers to the functional relationship between different yields and maturities.Since national debt is generally regarded as a risk-free bond,researches on the term structure of interest rate mainly focus on the relationship between yields and maturities of national debt.The term structure of interest rate of national debt is of great significance to risk management asset pricing and fiscal and monetary policy decision-making.With the further improvement of financial marketization and the further expansion of the scale of financial market in our country,the more strict demand for effective market interest rate has been put forward.At the same time,the formation of national debt yield is a consensus formed by many market participants’ transaction,and contains participants’ judgment about the macroeconomic,so the term structure of interest rate can reflect the macroeconomic information.Therefore,it is particularly important to deepen the study of term structure of interest rate for the financial market of our country.The term structure of interest rate is not only the basis of financial asset pricing,but also the bridge connecting macroeconomic variables.Taking the term structure of interest rate of Chinese national debt as the research object,this paper reviews previous studies in this field,learns from the main framework of western theoretical model of term structure of interest rate,and uses affine term model as the tool to explore the fitting effects of the underlying factor model and macro term structure model of interest rate in the term structure of Chinese national debt.On this basis,the author extracted the information of inflation expectation and actual interest rate in the term structure of national debt and explored the relationship between the term structure of interest rate and the macro-economy.According to this idea,the full text does the following works:Firstly,based on the research of domestic and foreign scholars,this paper discusses the research process of interest rate term structure model in detail.Through the factor as the clue in the model,the single factor,multiple factor and affine term model are connected in series to explore the development ideas between different models and the research status at home and abroad.In addition,related concepts of term structure model of interest rate are clarified.Starting with asset pricing model,the setting and estimation methods of affine term model are introduced.Secondly,traditional studies on the term structure of interest rate depict the form of yield curve through latent factors,without establishing the connection between macroeconomic variables and interest rates.However,macroeconomic variables are introduced into the model by random discount factor instead of latent factor.This paper takes the yield to maturity data of 8 main interest rates as the research object,constructs the "latent factor model" and the "macro financial model" respectively to compare the fitting effect of the two,and explores the differences between them.In the "latent factor model",the principal component analysis method is used to extract three factors: "level factor","slope factor" and "curve factor",and the different factors affect the yield rate of different maturities.At the same time,combined with Fisher equation,Taylor rule and other studies,it is found that the three factors are related to inflation expectations,real interest rate,monetary policy and other macro information to a certain extent.Based on Fisher’s Rule,three macro variables of output gap,inflation rate and short-term market interest rate were selected and the unobserved variables of real interest rate and inflation expectation were introduced to construct an affine term model containing macro variables.The term model of interest rate after adding macroeconomic variables had a good fitting effect on the long-end interest rate,while the fitting effect on the short-end interest rate was poor.And extracting information such as inflation expectation and real interest rate from the term structure of interest rate can reflect the characteristics of domestic economy.Based on the above research results,the full text is summarized and the corresponding suggestions are put forward.