The Research On The Relation Of Interbank Bond Market’s Interest Rate Term Structure And Macroeconomic In China

As an important economic variable, the change trend of interest rate is not only an important factor in the arbitrage, asset pricing, hedging, risk management, financial product design and so on, but also is an effective analysis tool in predicting the development of the real economy, inflation, other macroeconomic and Central Bank monetary policy. With the reform of interest rate and exchange systems, interest rates in the national economy are playing an increasingly important role. The corresponding interest rate term structure also draws the concerns of many economic researchers. The perfect interest rate term structure can not only provide market pricing mechanism on financial products, enrich the control tools of central bank, strengthen regulatory capacity, improve the financial system’s ability to control risk, but also can promote the formation of the benchmark interest rate, and promote market-oriented reform of interest rates.Interest rate term structure is closely linked with the macro, which is an indisputable fact in western countries. The research in this regard has also been an important subject of western scholars. However, due to the backwardness of China’s bond market, the research on the relevance of interest rate term structure and macroeconomic is not much. Since 2006, our country reform the way of issuing bonds, referring to the international practice, from examining and approving the issued amount of annual every year to the method of outstanding balance management for national bonds. The new management can make the Ministry of Finance issue bonds of different maturities flexibly, according to the specific circumstances of fiscal deficits and financial markets at any time in one year period, which makes the short-term treasury bonds is greatly increased in the market, greatly enriched the term structure. Therefore, the research on the interest rate term structure has greater significance. In recent years, the study on the interest rate term structure has increased. How to dig out the information of macroeconomic, use the information flexibly and formulate corresponding monetary policy should draw the attention of center bank and investors.We selected the fixed interest rates bonds and zero-coupon bonds from January 2007 to August 2010 inter-bank bond in the market as the sample. With the Nelson-Siegel model, we fitted out the interest rate term structure in the inter-bank bond market. And then, we use multiple space time Markov chain model to find the actual economic development trends and China’s monetary policy trends, they and inflation factor (CPI) together as representative of macroeconomic. Next, we use VAR model to analyze the relevance of macroeconomic indicators and interest rate term structure. In this model, we find the interaction of macroeconomic and interest rate term structure.Through the empirical analysis, we know that the relationship of interest rate term structure and macroeconomic does exist. The real economic development has a greater impact on interest rate term structure than monetary policy and inflation. Meanwhile, the macroeconomic is little affected by interest rate term structure. The impact of Macroeconomic on interest rate term structure is greater than the impact of interest rate term structure on Macroeconomic. In the 10% level of significance, Macroeconomic are the Granger cause of interest rate term structure, but the converse is not established. This shows that the development of China’s bond market is not very mature, so we should establish a more complete bond market, and break down the barriers in inter-bank market, exchange market and OTC market. Establish the market-oriented interest rate will be the further development of China’s bond market goals.