Research On Theory And Application Of The Term Structure Of Interest Rates

The term structure of interest rates reflects the relationships among a sequence of interest rates with different maturing dates and is a basal but very important topic in the field of financial economics. When pricing the fixed income securities, managing the risk of interest rates and establishing the monetary policy, the term structure of interest rates is always playing a sufficiently crucial role. With the great advance of the interest rate marketization of our country and the rapid development of bond market, the changing for interest rate is becoming more and more frequent and quite complicated interest rate derivatives is coming forth, which bring into prominence for researching the interest rates term structure. So it is completely significant to have a research on the topics of constructing the yield curve, which is consistent with current conditions of the bond market in our country, and examining the moving characters of term structure. Also, it is very senseful to discuss the applications of the term structure to pricing the interest rate derivatives and measuring and managing interest rate risk.Under the above background, the author systemically researchs a few topics on the term structure of interest rates from the two points of view of theory and empirical analysis with the qualitative and quantitative methods. This dissertation is organized as follows:In the first chapter, I introduce the researchful background and significance for the paper and describe the definition of the term structure of interest rates with its quantitative formulae. Then, I briefly explain the disquisitive methods and the sampling data which are used in this dissertation. Finally, I summarize six items of innovations which are made by the author and depict the integrated framework of the paper.In the second chapter, we enter into the main body of the dissertation. Combining the current situation of the treasury security market in China, the author improves the FNZ model and Waggoner model from five aspects: the fitted object, the function in describing the roughness penalty, the method of estimating parameters, the optimal function and the sample. Then, I propose to approximate China's term structure of interest rates with the improved variable roughness penalty cubic smoothing splines approach. Finally, this chapter carries out an empirical work and compares the performance of different fitting models from the aspects of the in-sample and the...