Treasury Yield Curve And Volatility Empirical Research

Treasury bond market is an significant component and the base of the bond market. And the yield of treasury bond as well as the shape and volatility of yield curve bear an important meaning to the treasury bond market and even the whole financial market. This thesis is to study the yield curve upon the basis theories of term structure. It introduces all the research achievements domestic and abroad of modeling the yield curve of treasury bond systematically, applies two typical methods----polynomial splines method and Nelson-Siegel-Svensson parameter model----to China bond market, and considers the latter as the better method after comparing the results. Then the Principal Components analysis is used to study the volatility characteristic of the yield curve which are simulated by the parameter model. Based on demonstration, this thesis analyzes the characteristics and the embedded problems of the curve and looks into the bond market to find out the roots of these problems. At last, the thesis foresees the performance of the yield curve according to the potential influential factors. This thesis tries to blaze some new trails as follows: firstly, it strives to sum up numerous and complicated research results and approaches about yield curve so as to choose several typical methods; secondly, it evaluates the models according to the term structure theory as well as the practice of market; lastly, it abolishes the pattern of "actuality-problem-solution" as a normal thesis has, in stead, it goes on the logic clue and relates the demonstration results to the profound analysis of bond market.