The Research On The Change Of The Yield Curve Of Chinese Bond

In our nation, the study of yield curve of bond start later, and almost of researches is for the reason of shape of yield curve of bond and for the Real diagnosis research. But the function of such research lies in explanation but forecast. And the research for the fluctuation of yield curve of bond is on the face of theory without relation with national condition. with the more and more interest rate decided by market, the change of the interest rate become frequent and complex, and the interest rate curve of the bone reflect the lever of current interest rate and the fluctuate trend of future,which has significant theorial and realistic meaning.The first chapter systemic narrated and commented about the achievement of study of structure of interest term .for after but the research has built the foundation; and the second chapter make the deep study for the history of the theory of term structure of interest, and get the ready for the study for factor which influent the change of the curve of interest rate. The third chapter has promulgated the present situation of the development of bond market, study the factor to the movement of yield curve of bond, and find the most important factor is anticipation of money policy taken by china bank and the quantity of money. it is conformed to modern theory that the movement of yield curve is dried by a short rate .The forth chapter made a conclusion that seven day'repo-rate can most conform to short term anticipated rate with the analysis of all rate and analysis of relativity between repo-rate and rate of Chinese bank bill ;.and make the GMM estimation of the seven day -repo rate, borrow the model of yield in the doctor paper by Yu Jing, then forecast the yield curve, which make the better forecast for short rate but the forecast of long rate is away form the practice rate.. so this chapter also fit the time series...