Theory And Empirical Study Of Chinese Term Structure Of Interest Rate

This dissertation's research on the term structure of interest rate can be separated into two parts: static state and dynamic state. The aims of the static state are to construct a yield curve on relationship of zero-coupon bonds'interest rate and maturities. This dissertation firstly analyzes various kinds of theories on the construction of interest rate term structure. Based on the SSE's bonds trading data ,it undertakes an empirical research which finds out that Nelson-Siegel method is more suitable for Chinese market when taking into consideration of spline method and Nelson-Siegel method. The paper constructs a monthly interest rate term structure based on the monthly data from 20/05/2005 to 14/08/2006. It finds out that Chinese interest rate term structure is in line with traditional expectation theory and liquidity preference theory basically.The dynamic research emphasizes on how the whole interest...