An Empirical Analysis Of The Impact Of The Interest Rate Change On The Yield Curve Of Bonds In U.S And China

China is now running under the system of socialistic market economy, and financing via Treasury bond has been becoming an important method to balance financial budget, to raise construction fund and to allocate social resources. As an interest rate product, yield change of Treasury bond is not only the core section of interest rate alteration but also the vital part of financial operation.The most important issue of security markets is the return-risk relation and the return-risk relation of bonds is reflected by the yield curve, so yield is an important analytical tool which serves as the basis of analysis of the trend of interest rate and bond pricing. As the foundation of bonds investment, yield curve can be used to calculate the bid rate in the first market, select bonds and predict the open quotation price in the secondary market. Meanwhile it can serve as reference for government to issue bonds, supervise bonds, implement monetary policy and adjust interest rate.This paper examines empirically the impact of the interest rate rise or cut on the treasury markets based on the means of one-way ANOVA by comparing the yields in US and China. The means of one-way ANOVA is typically used to examine the yield curves have significant changes when the interest rate was raised or cut. In this paper, the effects of interest rate rise or cut are tested by one-way ANOVA. The 1-year deposit interest rate is regarded as the benchmark in China and the adjustment dates of benchmark interest by the Chinese Central Bank (2007.09.17) and (2002.02.21) are selected as the reference date. As a comparison, the federal fund rate is regarded as the benchmark in America and the adjustment date of benchmark by the Federal Reserve Board (2004.01.30) and (2003.06.25) are selected as the reference date since the interest rate of U.S.A. at this moment is approximately equal to China. According to the different remaining time in bonds, the yield curve is divided into three parts: short term (0-2years), medium term (2-10years), and long term (10-20year). Using the data of closing prices, the paper first fits the daily yield curve within three specified time. Then the paper tests the significance of the difference on yield curve by the means of one-way ANOVA. It is shown that there are obviously difference on the treasury markets between America and China when raising or cutting the interest rate.