Empirical Study On The Relation Dynamics Of The Bond Interest Rate Term Structure And Macroeconomy In China

The terms structure of interest rates and macroeconomic activity are closely related, and the bond market is sensitive and responds quickly to macroeconomic news releases by a large number of researching of economic scholars, term structure movements convey important information about the future state of macroeconomy. In 2006, according to international practice, we changed examination issue year after year to in the form of bond balance management. After implementing the form of bond balance management, Ministry of Finance can make flexibly the duration of issuing treasury bonds and frequency according to the deficit and the actual situation in the financial markets in a year, so that the issue of short-term treasury bonds which is lack in the market will increase significantly, and the Rolling Issue will develop a large scale, enrich greatly and improve the term structure of treasury bonds. Therefore, it is extremely important to study systematically and depth the dynamic dependencies of interest rate term structure and macroeconomic factors, and the linkage to the bond pricing, investment decision-making and policy formulation.Constructing a joint model of macroeconomic and interest rate term structure effectively explains how macroeconomic variables affect structural factors of the yields curve and movements of yields curve. In order to discuss precisely dynamic dependencies of interest rates term structure and macroeconomic variables, first, this dissertation select 62 month ended datas of treasury bonds in the Shanghai Stock Exchange and B sample which is most popular currently to fit the interest rates term structure of treasury bonds, which get smooth spot rate curves; then from the perspective of treasury bonds pricing, we join the core pricing theory of finance:no-arbitrage pricing theory in existing VAR model of macroeconomic and interest rate term structure, and select nine representative macroeconomic variables to discuss the application and improvement of model where identifying restrictions are based on the absence of arbitrage.We find that inflation have a positive impact on spot interest rates, and the impact on short-term interest rates is greater than the impact on middle and long end interest rates; real economy and monetary policy have negative impact on spot interest rates, and with the extension of the maturity period, the impact gradually weakened. The forecasting performance at the short end of the yield curve doesn't improve when macro factors and no-arbitrage restrictions are imposed, but for the middle end of the yield curve the models with macro factors and no-arbitrage restrictions improves much. For the long end of the yield curve, such superiority also is not reflected.