Research On Chinese Treasury Yield Curve

Treasury is the main part and core of the bond market in our country at present. On one hand: it is the important measure of government financing, and government's main capital source besides tax revenue. Meanwhile, because treasury has the characteristic such as good security, high profitability and strong negotiability, treasury has become the most important investment approach to many investors. On the other hand: the yield of treasury formed in the current market, has reflected the term structure of market interest rate, clued on the overall level of market interest rate, promoted the development of capital market, and at the same time has offered the important basis for the Central Bank to make monetary policy and regulate the interest rate. So the study on the treasury and the yield has become the focus problem that numerous people have paid close attention to.This thesis is to study the yield curve upon the basis theories of term structure. It introduces domestic and abroad of modeling the yield curve of treasury bond systematically, applies the typical methods---- Nelson-Siegel parameter model----to China bond market. Then the Principal Components analysis is used to study the volatility characteristic of the yield curve which is simulated by the parameter model. Based on demonstration, this thesis analyzes the characteristics and the embedded problems of the curve and looks into the bond market to find out the roots of these problems, and suggest the solutions to deal with the problem.This thesis tries to blaze some new trails as follows: firstly, it strives to sum up numerous and complicated research results and approaches about yield curve so as to choose the typical methods to simulate the treasury yield curve of China; Secondly, it uses AR(1) to test the effect of N-S model;Finally,it analyses Chinese treasury bond market according to the term structure theory , relates the demonstration results to the profound analysis of bond market.