China's Government Bond Yield Curve Fitting And Analysis

The government bond is the main part and core of the bond market in our country at present. On one hand: it is the important measure of government financing, and government's main capital source besides tax revenue. Meanwhile, because the government bond has the characteristic such as good security, high profitability and strong negotiability, the government bond has become the mostly and largest investment object to many investors. On the other hand: the yield of government bonds formed in the current market, has reflected the term structure of market interest rate, clued on the overall level of market interest rate, promoted the development of capital market, and at the same time has offered the important basis for the Central Bank to make monetary policy and regulate the interest rate. So the study on the government bond and the yield has become the focus problem that numerous people have paid close attention to.This paper firstly introduced the relevant concepts of the government bond's yield, emphasized the definition and calculation of the yield to maturity, and subsequently introduced the characteristic of the term structure of interest rate for government bonds, all these offered the academic foundation for the following discussions and analysis. Then utilizing eight government bonds and the data of three bargaining days chosen from the securities market in Shanghai, the paper described the corresponding graph of yield curve of government bonds for each bargaining day separately, carried though the positive study to the yield curve of government bonds of our country, and analyzed the characteristic and influencing factors of the yield curve of government bonds in our country.After the positive study, this paper supposes the models to the yield equation of government bonds according to the form characteristic lately of the yield curve of government bonds in our country. Then this paper regresses the government bond's data of the chosen bargain day utilizing Eviews software, educed the yield equationof the government bonds of that day, and analyzed every test result of the regression. Meanwhile, this paper carried on the comparative analysis between the actual value and the fitting value educed by that model, and further tested the fitting result of this model. Subsequently, this paper expatiated the economic meaning of the fitting estimate.Finally, this paper analyzed synthetically the general characteristic and existing problems of the yield curve of government bonds in our country according to the foregoing demonstrative results. And then basing on many aspects such as the issuing mechanism, circulation mechanism and benchmark rate etc. of the government bonds, this paper put forward policy recommendations to develop the government bonds market of our country.