China Interest Rate Trend Analysis Model

Under the condition of market economy , interest rate plays an important role in the macro-economical and micro-economical activities, it is the most important lever in the economic system. The high or low of interest rate reflects the basic condition of the macro-economical circulation, and its change will affect all the factors of the macro-economy, such as GDP, the price level ,the employment level etc. Therefore, the fluctuation of the interest rate is one of the main basis when we predict the situation of a country's macro-economy, its trend is the most mean of the macro-economical situation's estimation.In the first part of this thesis ,we firstly introduce the West economists' theories of the determination of the interest rate ,then we find invest and saving, the supply and demand of the currency , economic period, the price level and the income level affects the interest rate .In the meantime, the paper summarizes the domestic and international scholar's research about the relationship between the interest rate and the micro-economical factors.Part two puts great emphasis on the selection of the factors that affects the trend of the interest rate. Firstly we select all the variables that should have an affect on the interest rate. The ADF-testing results show that all the variables of macro-economy are non-stationary and contain a Unit Root. Then we determine the variables which will influence the interest rate's trend through Granger causality Testing.The third part is the core. On the base of the above analysis and research, this part uses the comprehensive fuzzy evaluation to build the interest rate forecast model. This part firstly introduces the comprehensive fuzzy evaluation, then constructs the member functions of all the variables according to the regulation of the macro-economy and the relation between the variables and the interest rate, makes use of contrast method and expert method to determine the importance weight of the variables ,finally constructs the model. At last we test the model using the quarterly data from 1996 to 2005. The empirical results show the model is feasible.