The Study Of The Interest Rate Term Structure And The Empirical Analysis On The Influential Factors In China

In the market oriented interest rate regime, the interest rate term structure of treasury bond is the pricing basis of the entire financial products (including stock, bond and other derivative securities), as well as play an important role in investment analysis and management, interest risk management, and monetary policy making. Thus, research on this topic has important theoretical and empirical implications.Firstly, this article introduces several basic concepts in interest rate term structure and related theoretical background, and then discuss in detail on the three static methods for fitting interest rate term structure including Coupon Dissection Method, polynomial Spline Method and Nelson-Siegel-Svensson model, also compare these three methods with empirical analysis, from which I give my opinion that Nelson-Siegel-Svensson model can fit the interest rate term structure in our country with better performance.In the following part, the article investigate the factors that influence the interest rate term structure of treasury bond in our country. At the beginning, I analyze the structure of interest rate term structure of treasury bond with principal component analysis method(PCA), which shows that three factors' contribution rate to variance reaches 92.36%. Secondly, through investigating the influence that the change in deposit and loan interest rate has on interest rate term structure using Single Factor Analysis of Variance method(ANOVA), we can see that deposit and loan interest rate can still take the role as "interest rate corridor". Third, I also study the relationship between yield rate and economic variable for different maturities using VECM model, and draw the conclusion that the influencing factors of interest rate term structure vary along with the maturity.At last, according to the result of estimation, this article analyze the status and illogicality of the interest rate term structure in our country at present, and raise corresponding suggestions and possible policies for implementing the treasury bond trading system and improving the fitting precision in interest rate term structure in our country.