Interest Rate Term Structure And Empirical Analysis

The market of our national bond has developed for about twenty years. But with the new condition of WTO and the market economy, our national bond market still exists a lot of problems that need to resolve immediately. To consummate the function mechanism of national bond market, to exert the function as regulating the national economy, scientific pricing for various different terms bonds, the estimation and analysis to national bond term structure of interest rate become quite important.Today, there are many theories, models for the fixed-income security term structure of interest rate, including some analysis based on stochastic process. However, when these theories and models applied to our country, there will appear something unreasonable more or less, especially for the estimation to our national bond interest rate term structure. So, in this paper, we apply two successful models on the estimation of national bond term structure of interest rate. Next, we get some conclusions based on the situation of our country.The article fist introduces and analyses three kinds of the term structure of interest rate models. Then it begins to study the two models that will be used in the demonstration facet After that, the article analyses twenty-five homogenous national bonds in Shanghai Security Exchange Bourse and educes the corresponding spot interest rate curve, theory price and the price difference from the true price. The main estimation methods we used are feasible generalized least squares and nonlinear optimization. Besides these, this thesis still contrasts the conclusions between the two models by SAS8.2 and points out which model is more fit to our country national bond market.Finally, from the conclusions of estimation models, the author summarizes some presently problems in bond market and puts forward some feasible advice.