The Empirical Study On The Term Structure Of Interest Rates And Its Influential Factors In China

On December 11,2001, China has become a member of WTO officially. According to the pledge when we acceded to WTO, China's financial service industry opened to the world comprehensively on December 1,2006. In order to cope with the arrival of that day, the reform of China's monetary system has been gone deeply into the reform of interest rate system in the year of 2004. The overall thought of our country's interest rates system reform is that we should loose the interest rate of money market and bond market first, then gradually carry forword the marketability of the interest rate on deposit and loan; while regarding to the interest rate on deposit and loan, we should carry on in this order:first foreign currency, next standard currency; first loan, next deposit; first long-term and large quantity, next short-term and jot.Interest rate is a core variable in economy and financial field, essentially, it is the price of fund,which reflects the supply-demand relation of fund. Recently, the process of China's interest rates'liberalization carries out with steady steps,the reform of China's interest rate system has gradually strided forward the goal of the marketability interest rate system,in which, the supply and demand of the fund in market decided the interest rate level.During this process, the interest rate's function of deploying resources strengthens unceasingly, the fluctuation of interest rate will become more frequently;furthermore, the regulation of Central Bank to macro economy will transform gradually from control money supply to the adjustment of interest rate.So,urgently,we need to study and analyze the term structure of interest rates and its influencing factors in Chinese market,thus to provide basis for formulating and appraising each kind of policy, and further raise the conducting efficiency of policy.First,this paper systemly reviews traditional theories and static models about term structure of interest rates.Then estimates the term structure of interest rates in China's interbank loan market by Nelsen-Siegel model,and carries out relevant analysis between the estimated parameters'time series data and three latent factors (level, incline, curvature) which experientially on behalf of the term structure of interest rates'own characteristics,the result shows that, the estimated three parameters can represent the term structure of interest rates'own characteristics in China.Therefore,this paper takes the three parameter sequences and the macro economic variables into SVAR model to carry out the analysis. In order to reduce the model's dimension and simply parsing process,this paper effectively extract 4 macroscopic factors from 12 macro economic variables by Principal Components analysis method:fund surface factor, monetary policy factor, entity economical factor and inflation factor. This paper replaces 12 macro economic variables with four macroscopic factors to estimate the SVAR model, and analyzes the influences that macro economic attack to the three latent factors through pulse response function and variance decomposition technology. this method makes the analyze comprehensive meanwhile not lose succinctness,The result displays, the inflation level has the remarkable influence to the variety of the interbank loan market's overall interest rate,it is the most important macroscopic factor that causes the term structure of interest rates curve's intercept to change; The fund surface factor has remarkable influence in a short time to the term structure of interest rates curve's inclined factor, while the inflation factor has remarkable influence in a long time to the term structure of interest rates curve's inclined factor;Meanwhile,the fund factor is also the important macroscopic factor that influents the term structure of interest rates'curvature in China's interbank loan market.At last, this paper analyzes the influence that the macro economic attack to the interest rates of different terms through pulse response function and variance decomposition technology.The conclusion is that,inflation factor has the most important influence to the short-term interest rate, but compared with the fund factor and the monetary policy factor, the disparity is not very big; The short-term rate of interest has certain time viscosity to each macroscopic factor's impact, therefore, if we need to adjust some time's short-term rate of interest, we should carry out the control of each macroscopic factor ahead of the time; The inflation factor also has the most important influence to the long-term interest rate, and followed by the fund factor, moreover, their disparity is very big. According to the present domestic research situation, this article's innovation lies in:Firstly,this paper selects twelve (four kinds)macro economic variables, which cover majority macroscopic variables in the domestic literature, reveals the influence of macro economic attackes to the term structure of interest rates more thoroughly;Secondly,this paper classify the macro economic variables, and uses the principal components method to discover principal components of each classification,use which to replace the three macroscopic variables in this classification, in order to reduce the variable number, and simplify the analysis of SVAR model;Thirdly,this paper links the term structure of interest rates'three characteristics and macro economic variables into toghter, which refined the influence of the macro economic impact, and is more advantageous to instruct each kind of special operational policy measures at the right moment.