The Empirical Study On Term Structure Of Interest Rate And Treasury Bond Pricing

The paper conducts research on the term structure of interest rate and treasury bond pricing．The paper first analyzes Chinese treasury security market and its structure, and points out that there are some matters in China treasury security's pricing system and technology which go against healthy development of treasury security markets, and also some opportunities we should grasp．The paper also proposes some systematic and feasible policy advices on reformation of treasury security market． The term structure of interest rate is the foundation of asset pricing, financial　products design, hedging and risk management, arbitrage and investment．The paper introduces three traditional theories on term structure of interest rate:expectation theory, liquidity preference theory, preferred habitat theory, and analyzes the advantages and limitations of each theory．Furthermore, the paper describes two modern models of the term structure of interest rate since 1980:Equilibrium Model and Non. Arbitrage Model．At last, the paper has conducted an empirical study．The paper estimates a static approximation of term structure of interest rate in China using eight listed treasury bonds in Shanghai Securities Exchang．Based on the term structure of interest rate, the paper makes a theoretical pricing to the bond 010214, so as to make some contributions to the research of treasury bond pricing and term structure of interest rate model in China.