| The Term Structure of Interest Rates is the curve formed by the yield-to-maturity of zero-coupon bond in different terms and the corresponding terms under the same risk level. As a basic factor in finance, term structure has become a benchmark of asset pricing, financial product design, hedging, risk management, arbitrage and speculation. Because of the improvement of China's financial market, research on term structure seems to be necessary. Considering the misunderstandings and lack of accuracy in most of the relevant studies in this field in China, this paper aims to achieve a series of practical conclusion by some helpful try. This paper consists of five chapters as follows:Chapter one: Preface. We explain the background and reason of choosing this issue, as well as the innovations and shortcomings of this paper. Chapter two: Theories introduction and research review. We make a full review on relevant theories of term structure of interest rates, and summarize the achievements of empirical research on it.Chapter three: Estimation and comparison. We compare the different estimation models of term structure using the China's treasury bonds price data of the Shanghai Stock Exchange and get the better estimation model for our coming research. We make a large number of curve fitting using series of data, and finally made a description of the dynamic characters of term structure of interest rates of China's treasury bond.Chapter four: Empirical study on determinants. After brief introduction of the process of development of China's treasury bonds, we build a VEC model between the variable of characters of term structure, got by the principal component analysis, and macro-economic variables. As result, we can find the interrelations between the term structure of interest rates and macro-economic variable, especially monetary policy.Chapter five: Conclusions. We draw some reasonable conclusions. The innovations of this paper are as follows: Firstly, by using long span and high... |
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