An Empirical Study On The Term Structure Of Interest Rate In China 's National Debt Market

Nowadays, C hina is positively promoting the marketization reforms of interest rate system and exchange rate system. With the deepening of marketization reform, the national bond rate as the risk- free rate and the interest rate term structure composed of national debt yields of different expiries will play more and more important roles in laying foundation for market pricing, promoting the development and perfection of bond market, enriching the regulating instruments and strengthening the regulating ability of central banks and advancing the investment management and risk control level of financial institutions.Based on concluding and summarizing the theories of term structure of interest rate at home and abroad, this paper takes the national debt data of C hina on March 31, 2014 as the sample, adopts bootstrap method, polynomial splines method and Nelson Siegel model to statically fit the data of inter-bank national debt market with that of national debt market of Shanghai Stock Exchange. At the same time, it adopts principal component analysis method to analyze the factors affecting the term structure of national debt interest rate and proposes suggestions for improving the term structure of national debt interest rate of China by investigating in the practicability and fitting effect of the universal model in China.From the study, it finds that polynomial splines method and Nelson Siegel model have more advantages in fitting the term structure of national debt interest rate of C hina; the intersected bond market in China leads to different bond yield rates and deviated curve of bond yield rate; factors leading to different yield curves of the two main national debt markets in C hina mainly include: different active degree of the two markets, different trades participated in, different settlement trusteeship and obstacles existing in trans- market transaction. Currently, the national debt interest rate in C hina doesn’t have the basis to be the benchmark interest rate. It is suggested that C hina shall propel the reform of bond market, promote market- maker system in inter-bank market and exchange market, unify the bond trusteeship settlement system, enrich the variety and duration of national debt issuance and perfect the term structure of national debt interest rate of China...