The Introduction Of Macroeconomic Policy Variables The Term Structure Of Interest Rates Microscopic Study

Micro-perspective from financial scholars and Macro-perspective from economic scholars respectively are the major features of current research about term structure of interest rate, how these characteristics combined with each other and properly handle microcosmic study of the interest rate term structure under the influence of the macroeconomic policy variables will be essential to the expansion of China's term structure ideas, the improvements in the efficiency of regulation of central bank, the financial markets and risk management units, the optimization of the pricing mechanism structure and the sustainable development of the financial sectors.By the vertical structure of interest rates for the time evolution theory to study the main line, while horizontal on the general equilibrium model and the no-arbitrage model framework for the two specific studies, this paper taken in the structure of ask questions, solve the problem and handle empirical testing: First, from the term structure of interest rate on the status of the issue, the paper proposed the need to combine macroeconomic policy variables and the term structure of interest rates with each other, defined the content and several important concepts and pointed out the significance. Next the paper explain both the interest rate term structure of the traditional in-depth research analysis and summary from the macro-and microeconomic framework, then related factors related to the modern theory of the interest rate term structure under the influence of factors on the monetary policy and fiscal policy and take the empirical study against the Shanghai Securities Exchange's data. At last, with the artificial divisions status of China's bond market, the paper do the applicability of the special proofreading with the modern theory of the interest rate term structure in our country and drawn the conclusions.Specifically, from the macro policy point of view, the theory of macroeconomic interest rate decision is the first theory to link macroeconomic policy factors with the price of funds as interest rates, which provided ideological foundation for the macroeconomic policy factors guessing in framework of no-arbitrage and the macroeconomic policy factors involved in general equilibrium framework. Then macro-economists formatted the initial traditional qualitative analysis of the interest rate term structure theory from investors psychology and the market structure, but not like the theory of the interest rate decision, they did not consider the impact of observed factors changes in interest rates, which provides enlightenment and the further development of space for the modern theory of the interest rate term structure.From the microscopic point of view, affine model is the traditional model of the term structure of interest rates by the bond pricing analytic solution of partial differential equations is also very effective for the function and setup. Modeling in the thinking of general equilibrium model and the no-arbitrage model is more or less in length; different method from the perspective of analytical solutions for asset prices, including the partial differential equations and the equivalent martingale measure has facilitated the calculation; In regard to pricing constraints, the affine imposed restrictions on the short-term interest rates drift or disturbance period provide basic analysis tools to the modern theory of structure.From the point of view of monetary policy-related variables, the impact of related factors on the term structure of is transmitted from the central bank management of money supply and short-term interest rates to the impact of aggregate demand more on long-term interest rates. But interest rates gradually replace the money supply as Western countries intermediate goal of monetary policy, the representative of the level of short-term interest rates identifying mechanisms Taylor rules will become the linkage between the term structure of interest rates and macroeconomic policy factors. And from the results of empirical research, macroeconomic variables related to the monetary policy can interpret the changes in term structure of a certain effect and can indeed very easy to estimate the risk of market prices, interest rates are key elements.From the point of view of Fiscal policy-related variables, although the framework of the general equilibrium is the first meta-analysis of the term structure and fiscal policy-related factors, it basically remains in the traditional single-factor Model stage. No-arbitrage framework of analysis is basically from the integration of monetary policy related factors on the analytical framework, which is the state variables slightly different set of parameters. And from the results of empirical research, fiscal policy-related factors in the modern term structure of the framework of the show as a whole did not explain the corresponding effect.From the point of view of bond market in China, the two artificial segmentation market and liquidity differences will indeed impact the two major-market bonds yield, and inter-bank spot market bonds should yield more close to the theoretical risk-free rate of return, it is all the more appropriate as a model of the modern theory of the term structure of the input variables. The key to combine the macroeconomic policy factors and associated interest rate term structure - Taylor Rules is adapted to the basic rules of China's current interest rate transmission mechanism of the status quo. In light of China's inter-bank bond market data Empirical Study results show that the no-arbitrage under the framework of the inter-bank bond data empirical results more significantly, but SSE bonds data empirical results are more in line with ordinary judgment; In light of the framework of general equilibrium, China's SSE treasury bonds data empirical results more significantly, but the inter-bank bond data empirical results are more in line with interest rates in the theory of a common-sense judgments.Finally from the point of view of policy recommendations, the term structure of interest rates should combine theoretical study factors related to monetary policy perspective, and China's bond market, Treasury bonds related to the further integration of varieties should be mainly to the inter-bank market, supplied with the bond market of Stock Exchange. Combining modern research results of the term structure theory, the interest rate formation mechanism will be placed to the more sensitive, more agile environment, which is the inevitable trend to the objective of China's market-oriented interest rate on the impact of macroeconomic variables and the inevitable demand of a national macro-control policy to be issued a timely and effective manner.