| Interest rate term structure is one of the important topics in finance research, and widely used in fixed-income securities pricing, interest rate risk management and conducting monetary policy. In China, as the deeply reforming of finance system and rapidly development of bond market,it is necessary to make a study on interest rate term structure. It is of great theoretical and practical value to construct yield curse consisting with China bond market, and analysis the dynamic characters. The author systemically researchs a few topics on the term structure of interest rates from the two points of views of theory and empirical analysis with the qualitative and quantitative methods.This dissertation first introduces background and significance of it, reviews the literature of static fitting to yield curse and dynamic models, then evaluates the four hypothesizes of interest rate term structure.As for the static fitting of yield curse, this dissertation discusses four mainly methods, include bootstrap method, splines method, Nelson-Siegel model and Svensson model, analyses how to choose the appropriate method to fit the yield curse.As for the dynamic model of interest rate term structure, this dissertation divided them into equilibrium models and no-arbitrage models according to the study frame of stochastic term structure , where the former includes Merton model, Vasicek model, CIR model, multi-factors models and affine models, the latter includes Ho-Lee, Hull-White and HJM models, discusses the criteria for choosing the appropriate term structure of interest rates.In the application of interest rate term structure, this dissertation utilizes Svensson model to fit the yield curse of national bonds in SSE. On this basis, applies the principal component analysis method , finds that at least three state variables could explain the rate movement. Further estimate the parameters of three factors CIR model, compare the result with fact. |
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