A Research On The Marco-finance Model Of China

China has made considerable financial market development in recent years. This regard for the majority of investors with a diversified investment channels and promote the rapid development of the national economy, but on the other hand, the financial system in china is still imperfect, which gave market participants much more challenges. Market participants are expected to treat the complicated financial markets in a timely manner to capture the signal of future economic changes, and the term structure of interest rates hidden in the bond prices is just aims to provide a basis for some analysis.The interest rate term structure has become the basic of asset pricing, risk management, monetary policy and other benchmarks. In order to fit a set of precise structure of interest rates, Nelson and Siegel (1987) proposed a simple parameter model.and became very popular in many developed countries. With the rapid development of China's financial markets, the importance of the term structure of interest rates is also becoming increasingly prominent. However, the current interest rate market in China is still in the process of reform, combined with macroeconomic variables representative study to try to draw some rich theoretical and practical significant conclusions.For an in-depth study of the term structure of interest rates in China, the thesis is mainly divided into 6 parts for the analysis and discussion:Firstly, the domestic and international theories were introduced, including the term structure of the static model, dynamic model, etc., Then, the basic model is described in the introduction and implementation of methods, with emphasis on analysis of Nelson-Siegel three-factor model, the economic implications, Fama-Bliss coupon stripping method, such as vector autoregressive VAR model, and gives the model parameters specific estimates of the process. In the empirical analysis, we use stock price data for the Shanghai Stock Exchange bond term structure of interest rates in China and the dynamic changes of the static characteristics of a comprehensive analysis, including specific forms of the term structure of interest rates, term structure of dynamic characteristics of the three factors, etc. Evidence of the NS model has sufficient explanatory power to describe and estimate the term structure of China. On this basis, the paper selected representative macroeconomic variables, including the industrial added value, inflation and money supply, and the term structure of the three factors are co-constructed sequence of VAR model, using pairs of Granger causality test, impulse response and variance decomposition method. Finally, the paper analyzes the research findings and prospects for future research.Through this research, we get the following conclusions:(1)The term structure of interest rates in China tilt to the right, but leveled off after 102 months, and the short-term fluctuations in interest rates less than the length term interest rate fluctuations. (2)In 77 samples period, through the Nelson-Siegel model to estimate the level obtained in the factor and slope factor of 99% confidence level were significant, curvature factor of 90% confidence level of 58 was significantly, indicating that the Nelson-Siegel model can fit the term structure of China. (3)Macroeconomic variables on the term structure of interest rates of the three factors had significant effect.Overall, the main innovation of this paper is the following:First, this paper estimates the continuous term structure of interest rates in China, and using volume weighted average term structure of monthly factor constructed to avoid the direct use of short-term repo interest rate term structure of interest rates on behalf of the problems caused. Secondly, the VAR model analyzed the relationship of macro variables, quantitative and qualitative analysis of a combination of the relationships between the two. Finally, the Chinese interest rates term structure model has one-way relationship, and it gives us some policy recommendations.