The Research Of The Term Structure Of Interest Rates In China Bond Markets

The yield of the bond is the risk-less rate of the market, not only it is the base of the securities pricing, but also is the underlying base of all the finance products. In the same time, bond issue is an important means that the central bank controls the interests and macro economy. It is a means of transmission the monetary policy. But, in China,the bond markets is not satisfied with its products or trade volume or market impaction. For the history reason, Chinese bond markets are segmented by two bond markets—the inter-bank bond markets and the bond exchange market. The two bond markets are segmented both in products and market entering. Market segment leads to a bond with different bond price, the two bond markets have different term structure. This will affect the mechanism of the interest; even affect the way of the interest marketization.The term structure of the interest rates is the yield of the securities that in a time, if make a plot, then named the yield curve. In macro speculative, the term structure can bridge the money markets and the macro economy. In micro speculative, the term structure is the underlying base of the asset pricing. In these years, the term structure acts an important part in the monetary policy. In England, the central bank announces the CPI by the term structure data timely. In the USA, the FED takes the term structure as an indicator of the leading index. And announce the spread timely.The existing literatures on the relationship between China's term structure and Macro economy are rarely. And it is not satisfied in research ways and research deepness. The Government pays less attention to its application in the monetary policy. Under the interest market, this paper concentrate on relationship between the macro economy and the term structure and its application, it is important for the development of bond markets and the make good monetary policy. Also, this paper makes the term structure into risk management, it is important for the investor when making decisions.The main work and conclusions are presented as following:1. Literature review on the research of relationship between term structure and Macro economy are presented. The shortcomings and possible future research fields are got on the basis of summarizing current studies on the relationship between term structure and Macro economy.2. Analysis the relationship between term structure shifts and Macro economy in by regression analysis,Granger test,ADF test. The result is: in china, there is a good relationship between term structure shifts and Macro economy. This result makes the author interest in the content information of the term structure; it is the base of the post research in this paper.3. Conducting study on a kind of special threshold cointegration, this dissertation puts forward the method of threshold cointegration estimation and test; Using this method to build a new model reflecting the relationship between China's long and short rate, this dissertation reachs the conclusion that there exists a threshold cointegration between them, which is benefit for making monetary policy.4. By state space and Kalman filter, this dissertation gives a forecast of nature rate in China. The paper found that the NRR and NRRGAP is useful for forecast the CPI trend, it is helpful for the making monetary policy.5. Base on the two bond markets data, by ADF test,principle component analysis and Johnson cointegration ,the paper compare the VaR of the bond markets. Then give some suggestions of the bond markets unification.The innovative points of this dissertation are as following:1. On the basis of the macro speculative. Analysis the relationship between term structure shifts and Macro economy in by regression analysis found that in china, there is a good relationship between term structure shifts and Macro economy.2. Conducting a study on a kind of special threshold cointegration, this dissertation puts forward the method of threshold cointegration estimation and test; Using this method to build a new model reflecting the relationship between China's long and short rate, this dissertation reachs the conclusion that there exists threshold cointegration between them, which is benefit for making monetary policy.3. By state space and Kalman filter means, for the first time, this dissertation gave a forecast of short nature rate in China by yield curve data and paper found that the NRR and NRRGAP is useful for forecast the future CPI, it is helpful when the government making monetary policy. Measured the VaR by the term structure data in the bond markets, then found the difference of the two markets, in the end, gave some suggestions of the bond markets unification.Generally speaking, this dissertation achieves theoretical progress in the cointegration theory research, and also makes a lot of empirical work around the focus problem of the relationship between term structure shifts and Macro economy in China. So the theoretical study and empirical study is united and has a sound analysis framework. The conclusions from our empirical work can guide the mapping out of monetary policy which will promote sustainable development of economy. It is also helpful for the investors when making decisions.