The Study Of The Interest Rate Term Structure Model And The Empirical Analysis On The Influential Factors Of Short-term Interest Rate

As one of the most important price variables in the financial markets, among which the short-term interest rates are crucial to the pricing of fixed income securities and their derivatives, interest rates are always the highlight of financial research. The term structure of interest rates describes the relationships between the yields of zero coupon bonds and their terms to maturity. In case of single-factor interest rate models, there is only one state variable, the default-free instantaneous interest rate. The instantaneous interest rate dynamics determines the whole term structure of interest rate.This paper firstly introduced the relevant concepts of the rate and the term structure of interest rates, emphasized the definition and calculation of the yield to maturity, and subsequently introduced the characteristic of the term structure of interest rate for government bonds. Then, utilizing thirty nine government bonds and the data of two bargaining days chosen from the securities market in Shanghai, This paper studied the yield curve of government bonds of our country, and analyzed the characteristic government bonds of our country.As for the dynamic study of term structure of interest rates, the dissertation divided the models into equilibrium models and no-arbitrage models according to the study frame of stochastic term structure of interest rates, where the former includes one-factor models such as Merton, Vasicek, CIR models and multi-factors models such as Brennan-Schwartz, Fong-Vasicek, Longstaff-Schwartz models, the latter include Ho-Lee, Hull-White, BDT and HJM class models. The dissertation also discusses the criteria for choosing the appropriate term structure of interest rates.The short-term buyback interest rate is the important money market interest rate. It is the important baseline of releasing and pricing of the short-term bond and the baseline of pricing of interest rate derivative. It is also the arbitrage fund cost. It is more and more influential to the market. This paper used Granger causality test, cointegration test, error correction model to analyze the economic variable of influencing interbank short-term buyback interest rate. The research findings indicated that there is a cointegrated relationship between 7 day buyback interest rate(R07D) and the rate of commercial bank deposit and credit(DCR), interest rates for excess reserves(ERR),broad money-supply...