Comparative Study On The Term Structure Of Interest Rate Of Government Bond In China

China's market oriented reform on interest rate and exchange rate is proceeding steadily, as the reform goes further, the interest rate of government bond and the term structure of government bonds yielding with different maturity dates will become the pricing bench and cast great influence on the development of bond market.The market of our government bond has developed for about 20years, but with the market oriented reform goes further, our government bond market and the term structure of interest rate of government bond gradually expose some problems that need to be resolved immediately. To consummate the mechanism of government bond market, to exert the function of macroeconomic regulation,risk management and asset pricing, the estimation and analysis of government bond term structure of interest rate become more and more important.The paper starts the study from the theory of term structure of interest rate, and then review the literature in four aspects, including the hypothesis of term structure,the estimation of term structure,micro analysis of term structure shape and dynamic models of term structure. Based on the character of our government bond market, the paper establishes the model to estimating and analyzing the government bond term structure of interest rate. In empirical test part, the paper uses the data in our government bond market to study the static character and dynamic behavior of term structure of interest rate in our country. According to the result of the empirical test, the paper discusses the thinking and direction to consummate the government bond market and term structure of interest rate.The main study work of this paper is the followings:Employ some models to estimate government bond interest rate term structure of our country. Today there are many theories and models for the fixed-income security term structure of interest rate. However, when these theories and models applied to our country, there will appear something unreasonable more or less, especially for the estimation to our government bond interest rate term structure. So in this paper, we apply bootstrap method,spline function method and Nelson-Siegel-Svenson model to estimate the government bond interest rate term structure, and compare the effect of the three models. Based on the situation of our country, the paper compares the term structure of Shanghai Security Exchange Market and inter-bank market.In this paper, on basis of the existing theory on dynamic models of term structure, a nonparametric interest rate term structure model is set up. The nonparametric model overcomes the weakness of traditional parametric model, which presumes the probability distribution of interest rates and the form of parameters. Taking the government bond repurchasing interest rate in security exchange market as samples, the paper carries on the empirical test on the nonparametric model, and compares the result of the nonparametric model and parametric model.The paper compares the term structure of government bond interest rate between China and United States to find out the problems existing in our government bond market. The paper discusses the thinking and direction to consummate the government bond market and term structure of interest rate.The main findings and conclusions of this paper are followings:The empirical study finds that the government bond interest rate term structure in our country has the character of market economyComparative study in this paper shows that there is an obvious difference in the government bond interest rate term structure between security exchange market and inter-bank market.The paper finds that there are lots of disadvantages in China's government bond interest rates term structure compared to the term structure in the United States.According to the data in our government bond market, the paper concludes that the nonparametric model established in this paper can describe China's government bond interest rates term structure in a more accurate way than the traditional parametric models.