| Since 1980s, the bond market of our country has developed in surprising speed, experienced the process from planned management to market control, The market function of resources distribution and macroeconomic regulation has been enhanced a lot . But there are still many defects in the issuing manner, variety designing and the other aspects .The objective of this thesis is to find the shortcoming in the bond market and the true market rate by constructing the term structure of China.The reasons for choosing term structure theory as the method are like these .At one hand ,it is the foundation of asset pricing ,financial products design ,hedging and risk management ,arbitraging and investment .At the other hand ,there is a considerable information content associated with the yield curve ,such as economic cycle, future interest level and inflation .So term structure theory has been a very important subject in financial fields .To our country ,the research in this is so primary that there are many confusion of the basic concept of term structure theory in some relevant articles .For this reason ,constructing an accurate term structure on the base of right conception and reality means a great deal to the bond market.Generally speaking, there are three chapters in this paper. The first chapter focuses on the intention of the thesis and the theory development status abroad and in our country. Noting that the confusion in many relevant researches would result in the wrong and ineffective conclusion.The second chapter is the major part of the paper, we selected the exchange data of Chinese and American bond market on Oct.31th 2005 respectively. During the process of choosing data, many problems in our country' bond market such as lacking in bond variety and liquidity have become obviously. From the computation result, we can find that the term structure of China is quite different from the one of USA, which is directly opposite to the attitude that the yield curve... |
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