Empirical Study On Term Structure Of Interest Rate Containing Macroeconomic Information

Term structure of interest rate is the high-profile area in the research of Finance and Economics. In recent years the steady process of interest rate marketization of China has increased the urgency of this research. This paper is focused on the term structure of interest rate of bond market, and does some investigation and research on the macro-economic information contained.This paper is aimed to testify whether the term structure of interest rate containing the macroeconomic information and discuss their long-term relationship and short-term adjusted form. Firstly it introduces the background and significance of choosing this title and does a systematic review on the related research findings home and abroad about which the term structure of interest rate includes macro-economic information, and then describes the trend of research and the direction which combines with our country's reality. Secondly, choosing the related data of our Treasury bond market, polynomial spline method is used to fit the term structure of interest rate and then calculate the term spread. Thirdly, based on theoretical analysis, unit root test, cointegration test and vector error correction model (VECM) are respectively used to prove and demonstrate that term spread contains the related information about economic growth, inflation and future short-term interest rates, and to find and offer the co-integration relationship among them and the form of short-term fluctuations. The study result shows that the term structure of interest rate in China can provide a wealth of useful information for formulating monetary policies. Finally, conclusions are drawn and policy recommendations are put forward based on empirical analysis.